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Semiparametric estimation of a nonstationary panel data transformation model under symmetry

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  • Zhou, Yahong

Abstract

This paper considers semiparametric estimation of a nonstationary transformation model with panel data. One of the drawbacks of most existing semiparametric procedures is the requirement of stationarity assumption. Under a symmetry condition, a new estimator is proposed, allowing for nonstationarity of the disturbance.

Suggested Citation

  • Zhou, Yahong, 2008. "Semiparametric estimation of a nonstationary panel data transformation model under symmetry," Economics Letters, Elsevier, vol. 99(1), pages 107-110, April.
    • Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:107-110
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    References listed on IDEAS

    as
    1. Manski, Charles F, 1987. "Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data," Econometrica, Econometric Society, vol. 55(2), pages 357-362, March.
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    8. Abrevaya, Jason, 1999. "Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 93(2), pages 203-228, December.
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