Estimation of time-invariant effects in static panel data models

Estimation of Time-invariant Effects in Static Panel Data Models∗

This paper proposes the Fixed Effects Filtered (FEF) and Fixed Effects Filtered instrumental variable (FEF-IV) estimators for estimation and inference in the case of time-invariant effects in static panel data models when N is large and T is fixed. The FEF-IV allows for endogenous time-invariant regressors but assumes that there exists a suffi cient number of instruments for such regressors. It...

Supplement to "Estimation of Time-invariant Effects in Static Panel Data Models"

Estimation of spatial autoregressive panel data models with fixed effects

This paper establishes asymptotic properties of quasi-maximum likelihood estimators for SAR panel data models with fixed effects and SAR disturbances. A direct approach is to estimate all the parameters including the fixed effects. Because of the incidental parameter problem, some parameter estimatorsmay be inconsistent or their distributions are not properly centered. We propose an alternative...

Estimation of Partially Linear Panel Data Models with Fixed Effects

This paper considers the problem of estimating a partially linear semipara-metric fixed effects panel data model with possible endogeneity. Using the series method, we establish the root N normality result for the estimator of the parametric component, and we show that the unknown function can be consistently estimated at the standard nonparametric rate. c 2002 Peking University Press

Nonparametric estimation of fixed effects panel data varying coefficient models

JEL classification: C14 C23 AMS subject classifications: 62G08 62G20 62P20 Keywords: Varying coefficient models Fixed effects Panel data Local linear regression Oracle efficient estimator Within estimator Profile least squares estimator a b s t r a c t In this paper, we consider the nonparametric estimation of a varying coefficient fixed effect panel data model. The estimator is based in a with...