PAGFL
Joint Estimation of Latent Groups and Group-Specific Coefficients in Panel Data Models
Latent group structures are a common challenge in panel data analysis. Disregarding group-level heterogeneity can introduce bias. Conversely, estimating individual coefficients for each cross-sectional unit is inefficient and may lead to high uncertainty. This package addresses the issue of unobservable group structures by implementing the pairwise adaptive group fused Lasso (PAGFL) by Mehrabani (2023) <doi:10.1016/j.jeconom.2022.12.002>. PAGFL identifies latent group structures and group-specific coefficients in a single step. On top of that, we extend the PAGFL to time-varying coefficient functions.
- Version1.1.2
- R versionunknown
- LicenseAGPL (≥ 3)
- Needs compilation?Yes
- Last release11/09/2024
Documentation
Team
Paul Haimerl
Ines Wilms
Show author detailsRolesContributorStephan Smeekes
Show author detailsRolesContributorAli Mehrabani
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- Imports4 packages
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