We get the estimator of the link function, establish the asymptotic properties, and construct the simultaneous confidence band for single-index random effects models. Simulation studies and real data set are presented to evaluate the performance of the proposed method.

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...