In this paper we consider estimation and inference of common breaks in panel data models via adaptive group fused lasso. We consider two approaches -- penalized least squares (PLS) for first-differenced models without endogenous regressors, and penalized GMM (PGMM) for first-differenced models...

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...