A bi-integrative analysis of two-dimensional heterogeneous panel data models

Abstract

Heterogeneous panel data models have received more attention. This paper proposes a two- dimensional heterogeneous panel regression model that incorporate a group structure of individual dimension with cohort formation for their time-variations, which allows common coefficients between nonadjacent time points, via a doubly penalized least square is introduced. The consistency and asymptotic normality for the proposed estimators are developed. The simulations show the good finite sample performance.