Sun, Yiguo; Carroll, Raymond J.; Li, Dingding - In: Nonparametric econometric methods, (pp. 101-129). 2009
We consider the problem of estimating a varying coefficient panel data model with fixed-effects (FE) using a local linear regression approach. Unlike first-differenced estimator, our proposed estimator removes FE using kernel-based weights. This results a one-step estimator without using the...
