This paper considers the problem of estimating a partially linear semiparametric fixed effects panel data model with possible endogeneity. Using the series method, we establish the root N normality result for the estimator of the parametric component, and we show that the unknown function can be...

We consider the problem of estimating conditional probability distributions that are multivariate in both the conditioned and conditioning variable sets. This is an extension of Hall, Racine, and Li (forthcoming), who considered the case of a univariate conditioned variable but who also...

It is well established that local linear method dominates the conventional local constant method in estimating nonparametric regression models by kernel method. In this paper we consider the problem of estimating semiparametric econometric models by local linear method. We provide a simple proof...