A1389
Title: Panel VAR model with latent group structures
Authors: Binzhi Chen - University of Birmingham (United Kingdom) [presenting]
Abstract: The univariate panel model with grouped fixed effects has been well discussed in previous studies. The purpose is to study the multivariate panel vector autoregression (PVAR) model with group-based estimators. It is flexible as the number of groups, the group membership in each group and the equation are not specified, and it can also be extended to group-specific heterogeneous coefficient Panel VAR and Panel VAR with both grouped fixed effects and individual fixed effects. Compared with the interactive fixed effects model, it is parsimonious, and the coefficients are unbiased. It is shown that it is consistent when both N and T go to infinity.
