Nonparametric trending regression with cross-sectional dependence
نویسندگان
چکیده
منابع مشابه
Nonparametric Trending Regression with Cross-Sectional Dependence
Panel data, whose series length T is large but whose cross-section size N need not be, are assumed to have a common time trend. The time trend is of unknown form, the model includes additive, unknown, individual-speci c components, and we allow for spatial or other cross-sectional dependence and/or heteroscedasticity. A simple smoothed nonparametric trend estimate is shown to be dominated by an...
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A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis and it allows for the cross–sectional dependence in both the regressors and the residuals. A pooled semiparametric profile likelihood dummy variable approach based on the first–stage local linear fitting is developed to estimate both the parameter vector and the nonparametric ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2012
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2012.01.005