Estimation of Latent Group Structures in Time-Varying Panel Data Models
时变面板数据模型中潜在分组结构的估计AI 解读 ↓
本页整理公开书目信息,不生成学术质量评分。AI 解读根据题名及所注明的摘要或原文片段生成,未完成全文核验,可能有误;具体假设、证明与结论请核对原文。摘要保留来源文本,未经模型改写。
DOI 首次登记不等于接收或发表日期。部分更正、评论等条目没有独立摘要;缺少可靠材料时保留待补状态。
本页为预印本版本;arXiv 收录、作者填写的期刊信息以及作者既有发表经历,都不单独证明本篇已接收。作者发表记录按 OpenAlex 身份与完整姓名、本站覆盖期刊 ISSN 及正式卷期核对,只展示已核实例,档案仍可能误合并。
引用量采用 OpenAlex 单条关联记录,不合计多个记录;关联记录可能包含正式发表版本,不等于此版本单独引用。缺失不视为零,引用指标不代表论文质量。
关注作者按书目中的完整姓名匹配,同名和姓名变体需人工辨别。相关论文先按共享细分方向和具体方法排列,再参考通用方法与发表日期。
AI 根据所提供的论文材料归类:摘要明确以面板模型、潜在分组和组别时变系数为研究对象,最直接对应面板数据方向。
时变面板数据模型中潜在分组结构的估计AI 解读 ↓
正在核对关联版本…
正在核对对应版本的资源…
We consider panel data models where coefficients change smoothly over time and follow a latent group structure, being homogeneous within but heterogeneous across groups. To jointly estimate the group membership and group-specific coefficient trajectories, we propose FUSE-TIME, a pairwise adaptive group fused-Lasso estimator combined with polynomial spline sieves. We establish consistency, derive the asymptotic distributions of the penalized sieve estimator and its post-selection version, and show oracle efficiency. Monte Carlo experiments demonstrate strong finite-sample performance in terms of estimation accuracy and group identification. An application to the CO2 intensity of GDP highlights the relevance of addressing both cross-sectional heterogeneity and time-variance in empirical exercises.
纵向数据大规模协方差矩阵的非参数估计
Estimation of an unstructured covariance matrix is difficult because of its positive‐definiteness constraint. This obstacle is removed by regressing each variable on its predecessors, so that estimation of a covariance matrix is shown to be equivalent to that of estimating a sequence of varying‐coefficient and varying‐order regression models. Our framework is similar to the use of increasing‐order autoregressive models in approximating the covariance matrix or the spectrum…
纵向边际模型中的非参数回归
We consider nonparametric regression in a longitudinal marginal model of generalized estimating equation (GEE) type with a time-varying covariate in the situation where the number of observations per subject is finite and the number of subjects is large. In such models, the basic shape of the regression function is affected only by the covariate values and not otherwise by the ordering of the observations. Two methods of estimating the nonparametric function can be…
基于双重/去偏机器学习的时变连续处理双重差分
We propose a difference-in-differences (DiD) framework designed for time-varying continuous treatments across multiple periods. Specifically, we estimate the average treatment effect on the treated (ATET) by comparing distinct non-zero treatment intensities. Identification rests on a conditional parallel trends assumption that accounts for observed covariates and past treatment histories. Our approach allows for lagged treatment effects and, in repeated cross-sectional…
嵌套非参数工具变量回归
Several causal parameters in short panel data models are functionals of a nested nonparametric instrumental variable regression (nested NPIV). Recent examples include mediated, time varying, and long term treatment effects identified using proxy variables. In econometrics, examples arise in triangular simultaneous equations and hedonic price systems. However, it appears that explicit mean square convergence rates for nested NPIV are unknown, preventing inference on some of…
使用 mgcv 估计半参数与非参数固定效应面板模型
This paper provides a practical guide to estimating semiparametric and nonparametric fixed-effects panel data models using the mgcv package in R. The focus is implementation: handling fixed effects with unit indicators, first differencing, or penalized unit effects; specifying smooth terms; and conducting cluster-robust inference. Monte Carlo experiments compare \code{mgcv::bam} estimators with linear and fixed-series spline estimators. Simulations suggest that penalized…
利用辅助信息的稳健矩阵估计
We introduce a flexible framework for high-dimensional matrix estimation to incorporate side information for both rows and columns. Existing approaches, such as inductive matrix completion, often impose restrictive structure-for example, an exact low-rank covariate interaction term, linear covariate effects, and limited ability to exploit components explained only by one side (row or column) or by neither-and frequently omit an explicit noise component. To address these…