Nonparametric estimation of functional-coefficient partially linear dynamic panel data model with fixed effects

In this paper we propose a stationary nonlinear dynamic functional coefficient panel data models with fixed effects and develops semiparametric estimation procedure using series approximation. Convergence rate and asymptotic distribution of the proposed series estimators are derived in which asymptotic biases are present. Bias corrections are developed using a heteroskedasticity and autocorrelation consistent (HAC) type estimator.

MoreLess

Year of publication:	2014-08-06
Authors:	Tran, Kien C
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 34.2014, 3, p. 1751-1761
Publisher:	AccessEcon
Subject:	Dynamic panel \| fixed effects \| functional-coefficient partially linear \| series estimation \| convergence rate \| asymptotic normality \| bias correction

More details

Extent:	application/pdf
Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General ; C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010884992