Semiparametric Trending Panel Data Models with Cross-Sectional Dependence

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 semiparametric profile likelihood approach based on the first-stage local linear fitting is developed to estimate both the parameter vector and the time trend function.

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Year of publication:	2010-05
Authors:	GAO, Jiti ; Chen, Jia ; Li, Degui
Institutions:	School of Economics, University of Adelaide
Subject:	cross-sectional dependence \| nonlinear time trend \| panel data \| profile likelihood \| semiparametric regression

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Extent:	application/pdf
Series:	School of Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2010-10 30 pages
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008462871