{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,12]],"date-time":"2026-05-12T21:26:38Z","timestamp":1778621198064,"version":"3.51.4"},"reference-count":55,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2019,7,22]],"date-time":"2019-07-22T00:00:00Z","timestamp":1563753600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2020,6]]},"abstract":"<jats:p>We consider a panel cointegration model with latent group structures that allows for heterogeneous long-run relationships across groups. We extend Su, Shi, and Phillips (2016,<jats:italic>Econometrica<\/jats:italic>84(6), 2215\u20132264) classifier-Lasso (C-Lasso) method to the nonstationary panels and allow for the presence of endogeneity in both the stationary and nonstationary regressors in the model. In addition, we allow the dimension of the stationary regressors to diverge with the sample size. We show that we can identify the individuals\u2019 group membership and estimate the group-specific long-run cointegrated relationships simultaneously. We demonstrate the desirable property of uniform classification consistency and the oracle properties of both the C-Lasso estimators and their post-Lasso versions. The special case of dynamic penalized least squares is also studied. Simulations show superb finite sample performance in both classification and estimation. In an empirical application, we study the potential heterogeneous behavior in testing the validity of long-run purchasing power parity (PPP) hypothesis in the post\u2013Bretton Woods period from 1975\u20132014 covering 99 countries. We identify two groups in the period 1975\u20131998 and three groups in the period 1999\u20132014. The results confirm that at least some countries favor the long-run PPP hypothesis in the post\u2013Bretton Woods period.<\/jats:p>","DOI":"10.1017\/s0266466619000197","type":"journal-article","created":{"date-parts":[[2019,7,22]],"date-time":"2019-07-22T06:25:03Z","timestamp":1563776703000},"page":"410-456","source":"Crossref","is-referenced-by-count":19,"title":["IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED 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