{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T03:20:51Z","timestamp":1791861651294,"version":"4.3.4"},"reference-count":47,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,5,21]],"date-time":"2015-05-21T00:00:00Z","timestamp":1432166400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/100000001","name":"National Science Foundation","doi-asserted-by":"publisher","award":["ses1357598"],"award-info":[{"award-number":["ses1357598"]}],"id":[{"id":"10.13039\/100000001","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2016,1]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>This paper studies panel data models with unobserved group factor structures. The group membership of each unit and the number of groups are left unspecified. We estimate the model by minimizing the sum of least squared errors with a shrinkage penalty. The number of explanatory variables can be large. The regressions coefficients can be homogeneous or group specific. The consistency and asymptotic normality of the estimator are established. We also introduce new<jats:italic>C<\/jats:italic><jats:sub><jats:italic>p<\/jats:italic><\/jats:sub>\u2010type criteria for selecting the number of groups, the numbers of group\u2010specific common factors and relevant regressors. Monte Carlo results show that the proposed method works well. We apply the method to the study of US mutual fund returns and to the study of individual stock returns of the China mainland stock markets. Copyright \u00a9 2015 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2467","type":"journal-article","created":{"date-parts":[[2015,5,21]],"date-time":"2015-05-21T06:27:12Z","timestamp":1432189632000},"page":"163-191","source":"Crossref","is-referenced-by-count":120,"title":["Panel Data Models with Grouped Factor Structure Under Unknown Group Membership"],"prefix":"10.1002","volume":"31","author":[{"given":"Tomohiro","family":"Ando","sequence":"first","affiliation":[{"name":"Graduate School of Business Keio University"},{"name":"Melbourne Business School Melbourne University"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jushan","family":"Bai","sequence":"additional","affiliation":[{"name":"Department of Economics Columbia University New York NY USA"},{"name":"School of Finance Nankai University Tianjin China"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2015,5,21]]},"reference":[{"key":"e_1_2_12_2_1","first-page":"267","volume-title":"Second International Symposium on Information Theory","author":"Akaike H","year":"1973"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000585"},{"key":"e_1_2_12_4_1","article-title":"Asset pricing with a general multifactor structure","author":"Ando T","year":"2014","journal-title":"Journal of Financial Econometrics"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/0199245282.001.0001"},{"key":"e_1_2_12_6_1","series-title":"Invited lecture","volume-title":"Understanding bias in nonlinear panel models: some recent developments","author":"Arellano M","year":"2005"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6135"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"e_1_2_12_9_1","volume-title":"Econometric Analysis of Panel Data","author":"Baltagi BH","year":"2008"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2012.08.022"},{"key":"e_1_2_12_11_1","unstructured":"BonhommeS ManresaE.2012.Grouped patterns of heterogeneity in panel data. Working paper 2012\u20131208 CEMFI."},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912276"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/296344"},{"key":"e_1_2_12_14_1","doi-asserted-by":"crossref","unstructured":"ChengX LiaoZ SchorfheideF.2013.Shrinkage estimation of high\u2010dimensional factor models with structural instabilities. NBER working paper.","DOI":"10.21799\/frbp.wp.2013.04"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90027-9"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.08.017"},{"key":"e_1_2_12_17_1","first-page":"545","article-title":"Stock prices, real activity, inflation and money","volume":"71","author":"Fama EF","year":"1981","journal-title":"American Economic Review"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90095-0"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501753382273"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1214\/009053604000000256"},{"key":"e_1_2_12_22_1","first-page":"768","article-title":"Cluster analysis of multivariate data: efficiency vs.\u2009interpretability of classifications","volume":"21","author":"Forgy EW","year":"1965","journal-title":"Biometrics"},{"key":"e_1_2_12_23_1","doi-asserted-by":"crossref","first-page":"1113","DOI":"10.1017\/S0266466601176048","article-title":"The generalized factor model: representation theory","volume":"17","author":"Forni M","year":"2001","journal-title":"Econometric Theory"},{"key":"e_1_2_12_24_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465300559037"},{"key":"e_1_2_12_25_1","first-page":"365","volume-title":"Latent Variables in Socio\u2010economic Models","author":"Geweke J","year":"1977"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00344"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00533.x"},{"key":"e_1_2_12_28_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214506000001275"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511754203"},{"key":"e_1_2_12_30_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1997.10473997"},{"key":"e_1_2_12_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.10.001"},{"key":"e_1_2_12_32_1","first-page":"110","article-title":"Understanding the evolution of world business cycles","volume":"75","author":"Kose A","year":"2008","journal-title":"International Economic Review"},{"key":"e_1_2_12_33_1","doi-asserted-by":"publisher","DOI":"10.1515\/2156-6674.1000"},{"key":"e_1_2_12_34_1","unstructured":"LuX SuL.2013.Shrinkage estimation of dynamic panel data models with interactive fixed effects. Working paper. Singapore Management University."},{"key":"e_1_2_12_35_1","doi-asserted-by":"publisher","DOI":"10.2307\/1267380"},{"key":"e_1_2_12_36_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2010.00319.x"},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00359"},{"key":"e_1_2_12_38_1","unstructured":"MoonHR WeidnerM.2009.Likelihood expansion for panel regression models with factors. Working paper. Department of Economics University of Southern California."},{"key":"e_1_2_12_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00692.x"},{"key":"e_1_2_12_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.12.003"},{"key":"e_1_2_12_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2007.05.010"},{"key":"e_1_2_12_42_1","first-page":"45","volume-title":"New Methods in Business Cycle Research","author":"Sargent TJ","year":"1977"},{"key":"e_1_2_12_43_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214502388618960"},{"key":"e_1_2_12_44_1","unstructured":"SunYX.2005.Estimation and inference in panel structure models. Working paper. Department of Economics University of California San Diego."},{"key":"e_1_2_12_45_1","doi-asserted-by":"crossref","first-page":"267","DOI":"10.1111\/j.2517-6161.1996.tb02080.x","article-title":"Regression shrinkage and selection via the lasso","volume":"58","author":"Tibshirani R","year":"1996","journal-title":"Journal of the Royal Statistical Society"},{"key":"e_1_2_12_46_1","unstructured":"WangP.2010.Large dimensional factor models with a multi\u2010level factor structure. Working paper. Department of Economics HKUST."},{"key":"e_1_2_12_47_1","volume-title":"Econometric Analysis of Cross Section and Panel Data","author":"Wooldridge JM","year":"2010"},{"key":"e_1_2_12_48_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214506000000735"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.2467","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2467","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,9]],"date-time":"2024-06-09T04:14:48Z","timestamp":1717906488000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2467"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015,5,21]]},"references-count":47,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2016,1]]}},"alternative-id":["10.1002\/jae.2467"],"URL":"https:\/\/doi.org\/10.1002\/jae.2467","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2015,5,21]]}}}