Homogeneity and Sparsity Analysis for High-Dimensional Panel Data Models
高维面板数据模型的同质性与稀疏性分析
In this article, we are interested in detecting latent group structures and significant covariates in a high-dimensional panel data model with both individual and time fixed effects. The slope coefficients of the model are assumed to be subject dependent, and there exist group structures where the slope coefficients are homogeneous within groups and heterogeneous between groups. We develop a penalized estimator for recovering the group structures and the sparsity patterns…