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The role of sparsity in panel data models

id:2486 时间:20190709 状态: 点击数:
作者Andrew Adrian Pua
正文Sparsity of the fixed effects means that some fixed effects have absolute value of zero while others are bounded and other are large. The proposed estimator attempts to detect the large values of the fixed effects so that they can be removed in the second step. I tune the regularization parameter to encourage sparsity and allow for contemporaneously exogenous regressors. As a second step, I remove the large non-zero fixed effects so that pooled OLS may be applied.
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