2 papers
econ.EM2025
Panel data models with randomly generated groups
Jean-Pierre Florens, Anna Simoni
We develop a structural framework for modeling and inferring unobserved heterogeneity in dynamic panel-data models. Unlike methods treating clustering as a descriptive device, we m…
econ.EM2024
Bayesian Bi-level Sparse Group Regressions for Macroeconomic Density Forecasting
Matteo Mogliani, Anna Simoni
We propose a Machine Learning approach for optimal macroeconomic density forecasting in a high-dimensional setting where the underlying model exhibits a known group structure. Our…