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Change-plane analysis is a pivotal tool for identifying subgroups within a heterogeneous population, yet it presents challenges when applied to functional data. In this paper, we consider a change-plane model within the framework of…
This paper develops a new toolbox for multiple structural break detection in panel data models with interactive effects. The toolbox includes tests for the presence of structural breaks, a break date estimator, and a break date confidence…
This paper proposes nonparametric kernel-smoothing estimation for panel data to examine the degree of heterogeneity across cross-sectional units. We first estimate the sample mean, autocovariances, and autocorrelations for each unit and…
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the return distribution and using penalized…
This topic review communicates working experiences regarding interaction of a multiplicity of processes. Our experiences come from climate change modelling, materials science, cell physiology and public health, and macroeconomic modelling.…
A new partial functional linear regression model for panel data with time varying parameters is introduced. The parameter vector of the multivariate model component is allowed to be completely time varying while the function-valued…
Testing the equality in distributions of multiple samples is a common task in many fields. However, this problem for high-dimensional or non-Euclidean data has not been well explored. In this paper, we propose new nonparametric tests based…
The danger of confusing long-range dependence with non-stationarity has been pointed out by many authors. Finding an answer to this difficult question is of importance to model time-series showing trend-like behavior, such as river run-off…
We incorporate a version of a spike and slab prior, comprising a pointmass at zero ("spike") and a Normal distribution around zero ("slab") into a dynamic panel data framework to model coefficient heterogeneity. In addition to homogeneity…
The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regressors and trends as well as stationary regressors. The null…
Many time series exhibit changes both in level and in variability. Generally, it is more important to detect a change in the level, and changing or smoothly evolving variability can confound existing tests. This paper develops a framework…
We consider the problem of estimating the common time of a change in the mean parameters of panel data when dependence is allowed between the panels in the form of a common factor. A CUSUM type estimator is proposed, and we establish first…
This paper considers estimating functional-coefficient models in panel quantile regression with individual effects, allowing the cross-sectional and temporal dependence for large panel observations. A latent group structure is imposed on…
We consider a problem in Multi-Task Learning (MTL) where multiple linear models are jointly trained on a collection of datasets ("tasks"). A key novelty of our framework is that it allows the sparsity pattern of regression coefficients and…
We propose a novel nonparametric approach for estimating the location of block boundaries (change-points) of non-overlapping blocks in a random symmetric matrix which consists of random variables having their distribution changing from one…
This work proposes a novel procedure to test for common structures across two high-dimensional factor models. The introduced test allows to uncover whether two factor models are driven by the same loading matrix up to some linear…
Empirical growth analysis has three major problems --- variable selection, parameter heterogeneity and cross-sectional dependence --- which are addressed independently from each other in most studies. The purpose of this study is to propose…
We derive and study a significance test for determining if a panel of functional time series is separable. In the context of this paper, separability means that the covariance structure factors into the product of two functions, one…
We explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector autoregression, we use macroeconomic and financial variables…
Heterogeneous panel data models that allow the coefficients to vary across individuals and/or change over time have received increasingly more attention in statistics and econometrics. This paper proposes a two-dimensional heterogeneous…