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Estimation of a nonlinear panel data model with semiparametric individual effects

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  • Gayle, Wayne-Roy
  • Namoro, Soiliou Daw

Abstract

This paper investigates identification and estimation of a class of nonlinear panel data, single-index models. The model allows for unknown time-specific link functions, and semiparametric specification of the individual-specific effects. We develop an estimator for the parameters of interest, and propose a powerful new kernel-based modified backfitting algorithm to compute the estimator. We derive uniform rates of convergence results for the estimators of the link functions, and show the estimators of the finite-dimensional parameters are root-N consistent with a Gaussian limiting distribution. We study the small sample properties of the estimator via Monte Carlo techniques.

Suggested Citation

  • Gayle, Wayne-Roy & Namoro, Soiliou Daw, 2013. "Estimation of a nonlinear panel data model with semiparametric individual effects," Journal of Econometrics, Elsevier, vol. 175(1), pages 46-59.
    • Handle: RePEc:eee:econom:v:175:y:2013:i:1:p:46-59
    DOI: 10.1016/j.jeconom.2013.03.004
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Semiparametric estimation; Modified backfitting; Panel data; Nonlinear models;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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