This paper studies estimation of a panel data model with latent structures where individuals can be classified into … within each group is not required but can be used to improve the accuracy of classification and estimation in finite samples …. Simulations evaluate performance and corroborate the asymptotic theory in several practical design settings. Two empirical …

. The tests are consistent and divergence rates are faster when the predictor is stationary. Asymptotic theory and …

than previously thought. The present study provides asymptotic theory justifying the use of these methods when there are …

parameter estimation. The asymptotic null distribution of the resulting test statistic is represented by invariance principle …

-specific coefficients. C-Lasso achieves simultaneous classification and consistent estimation in a single step and the classification … exhibits the desirable property of uniform consistency. For PLS estimation C-Lasso also achieves the oracle property so that … identity information. For PGMM estimation the oracle property of C-Lasso is preserved in some special cases. Simulations …

This paper introduces a new estimation method for dynamic panel models with fixed effects and AR(p) idiosyncratic … system GMM methods. The asymptotic theory holds as long as the cross section (n) or time series (T) sample size is large … implementation. The PFAE estimation method is also applicable to dynamic panel models with exogenous regressors. Some simulation …