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Variable selection in panel models with breaks
Smith, Simon C.; Timmermann, Allan; Zhu, Yinchu - In: Journal of econometrics 212 (2019) 1, pp. 323-344
Persistent link: https://www.econbiz.de/10012303949
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Heterogeneous structural breaks in panel data models
Okui, Ryo; Wang, Wendun - In: Journal of econometrics 220 (2021) 2, pp. 447-473
Persistent link: https://www.econbiz.de/10012618524
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Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
Qian, Junhui; Su, Liangjun - In: Journal of econometrics 191 (2016) 1, pp. 86-109
Persistent link: https://www.econbiz.de/10011594639
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Estimation of heterogeneous panels with structural breaks
Baltagi, Badi H.; Qu, Feng; Kao, Chihwa - In: Journal of econometrics 191 (2016) 1, pp. 176-195
Persistent link: https://www.econbiz.de/10011598096
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Common breaks in means and variances for panel data
Bai, Jushan - In: Journal of econometrics 157 (2010) 1, pp. 78-92
Persistent link: https://www.econbiz.de/10008661845
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Estimating a common deterministic time trend break in large panels with cross sectional dependence
Kim, Dukpa - In: Journal of econometrics 164 (2011) 2, pp. 310-330
Persistent link: https://www.econbiz.de/10009301908
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Estimation of panel group structure models with structural breaks in group memberships and coefficients
Lumsdaine, Robin L.; Okui, Ryo; Wang, Wendun - In: Journal of econometrics 233 (2023) 1, pp. 45-65
Persistent link: https://www.econbiz.de/10014340925
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Panel data models with time-varying latent group structures
Wang, Yiren; Phillips, Peter C. B.; Su, Liangjun - In: Journal of econometrics 240 (2024) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10015075027
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On leverage in a stochastic volatility model
Yu, Jun - In: Journal of econometrics 127 (2005) 2, pp. 165-178
Persistent link: https://www.econbiz.de/10002905096
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Volume, volatility, and leverage : a dynamic analysis
Tauchen, George Eugene; Zhang, Harold; Liu, Ming - In: Journal of econometrics 74 (1996) 1, pp. 177-208
Persistent link: https://www.econbiz.de/10001755397