In this paper, we study semiparametric estimation for a single-index panel data model where the nonlinear link function varies among the individuals. We propose using the refined minimum average variance estimation method to estimate the parameter in the single-index. As the cross-section...

In this paper, we consider semiparametric estimation in a partially linear single-index panel data model with fixed effects. Without taking the difference explicitly, we propose using a semiparametric minimum average variance estimation (SMAVE) based on a dummy-variable method to remove the...

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 pooled semiparametric profile likelihood dummy variable approach based on the...

In this paper, we consider a model selection issue in semiparametric panel data models with fixed effects. The modelling framework under investigation can accommodate both nonlinear deterministic trends and cross-sectional dependence. And we consider the so-called "large panels" where both the...

This paper estimates the long-term trends in the daily maxima of tropospheric ozone at six sites around the state of Texas. The statistical methodology we use controls for the effects of meteorological variables because it is known that variables such as temperature, wind speed and humidity...

This paper presnets a method for simultaneously estimating a system of nonparametric multiple regressions which may seem unrelated, but where the errors are potentially correlated between equations. We show that the prime advantage of estimating such a 'seemingly unrelated' system of...

A new regression based approach is proposed for modeling marketing databases. The approach is Bayesian and provides a number of significant improvements over current methods. Independent variables can enter into the model in either a parametric or nonparametric manner, significant variables can...