zhentaoshi/C-Lasso

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C-Lasso This is the Matlab code for the empirical applications and simulations of Liangjun Su, Zhentao Shi and Peter Phillips: “Identifying Latent Structures in Panel Data” (2016), Econometrica, Vol.84, No.6, 2215-2264. Please contact Zhentao Shi ([email protected]) if you have any question about the code. R users please check github.com/zhan-gao/classo. A follow-up paper is composed to further investigate the computational speed of C-Lasso. Please refer to: Zhan Gao and Zhentao Shi (2020):...