Nonparametric dynamic panel data models: Kernel estimation and specification testing
نویسندگان
چکیده
منابع مشابه
Nonparametric Dynamic Panel Data Models: Kernel Estimation and Specification Testing
Motivated by the first differencing method for linear panel data models, we propose a class of iterative local polynomial estimators for nonparametric dynamic panel data models with or without exogeous regressors. The estimators utilize the additive structure of the first-differenced model, the fact that the two additive components have the same functional form, and the unknown function of inte...
متن کاملNonparametric Dynamic Panel Data Models with Interactive Fixed Effects: Sieve Estimation and Specification Testing
In this paper we analyze nonparametric dynamic panel data models with interactive fixed effects, where the predetermined regressors enter the models nonparametrically and the common factors enter the models linearly but with individual specific factor loadings. We consider the issues of estimation and specification testing when both the cross-sectional dimension and the time dimension are l...
متن کاملNonparametric estimation and testing of fixed effects panel data models.
In this paper we consider the problem of estimating nonparametric panel data models with fixed effects. We introduce an iterative nonparametric kernel estimator. We also extend the estimation method to the case of a semiparametric partially linear fixed effects model. To determine whether a parametric, semiparametric or nonparametric model is appropriate, we propose test statistics to test betw...
متن کاملNonparametric Estimation of Dynamic Panel Models
This paper investigates stationary β-mixing dynamics in nonlinear panel models and develops nonparametric estimation of dynamic panel models using series approximations. We extend the standard linear dynamic panel model to a nonparametric form that maintains additive fixed effects. Convergence rates and the asymptotic distribution of the series estimator are derived, in which an asymptotic bias...
متن کاملSpecification Testing for Functional Forms in Dynamic Panel Data Models
The most popular econometric models in the panel data literature are the class of linear panel data models with unobserved individualand/or time-specific effects. The consistency of parameter estimators and the validity of their economic interpretations as marginal effects crucially depend on the correct functional form specification of the linear panel data model. Based on an individual-specif...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2013
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2013.04.020