4 papers
Inference methods for unit-specific coefficients in panel data models with latent group structure
Mikihito Nishi, Ryo Okui
This paper introduces statistical inference procedures for unit-specific coefficients in panel data models, where the coefficients exhibit a latent group structure. The proposed me…
K-Means Panel Data Clustering in the Presence of Small Groups
Mikihito Nishi
We consider panel data models with group structure. We study the asymptotic behavior of least-squares estimators and information criterion for the number of groups, allowing for th…
Estimating Time-Varying Parameters of Various Smoothness in Linear Models via Kernel Regression
Mikihito Nishi
We study kernel-based estimation of nonparametric time-varying parameters (TVPs) in linear models. Our contributions are threefold. First, we establish consistency and asymptotic n…
Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions
Mikihito Nishi
This study considers tests for coefficient randomness in predictive regressions. Our focus is on how tests for coefficient randomness are influenced by the persistence of random co…