Semiparametric estimation of fixed effects panel data single-index model

We consider the fixed effects panel data single-index model. For estimation of the link function and the index parameter, the local linear smoothing and the least squares method are used. We also propose a test for the presence of the fixed effects. Finite sample performances are illustrated using simulations.

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Year of publication:	2013
Authors:	Lai, Peng ; Li, Gaorong ; Lian, Heng
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 6, p. 1595-1602
Publisher:	Elsevier
Subject:	Fixed effects \| Local linear smoothing \| Panel data \| Single-index model \| Test statistic

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010664059