In this paper, we propose a consistent nonparametric test for linearity in a large dimensional panel data model with interactive fixed effects. Both lagged dependent variables and conditional heteroskedasticity of unknown form are allowed in the model. We estimate the model under the null...

This paper proposes a novel Lasso-based approach to handle unobserved parameter heterogeneity and cross-section dependence in nonstationary panel models. In particular, a penalized principal component (PPC) method is developed to estimate group-specific long-run relationships and unobserved...

This paper studies estimation of a panel data model with latent structures where individuals can be classified into different groups where slope parameters are homogeneous within the same group but heterogeneous across groups. To identify the unknown group structure of vector parameters, we...