Simultaneous confidence band for nonparametric fixed effects panel data models

This paper constructs the simultaneous confidence band for the nonparametric function in nonparametric fixed effects panel data models. We first transform the nonparametric fixed effects panel data models into the partially linear models. We then obtain the estimator of the nonparametric function and remove the fixed effects using the profile least-squares method. Finally we apply the established asymptotic results to construct the simultaneous confidence band for the nonparametric function.