Scientific Data Services
Talk on "Estimation of Latent Group Structures in Time-Varying Panel Data Models"
"Estimation of Latent Group Structures in Time-Varying Panel Data Models" is the title of Paul Heimerl talk, which is being organised by the "Zentrum of Statistik" at Bielefeld University. It will take place on Tuesday, 24 June 2025 from 12:00 Uhr - 13:00 Uhr in W9-109.
We introduce a panel data model where coefficients vary both over time and the cross-section. Slope coefficients change smoothly over time and follow a latent group structure, being homogeneous within but heterogeneous across groups. The group structure is identified using a pairwise adaptive group fused-Lasso penalty. The trajectories of time-varying coefficients are estimated via polynomial spline functions. We derive the asymptotic distributions of the penalized and post-selection estimators and show their oracle efficiency. A simulation study demonstrates excellent finite sample properties. An application to the pace of microclimate change highlights the relevance of addressing cross-sectional heterogeneity and time-variance in empirical settings.