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Asymptotics for nonparametric and semiparametric fixed effects panel models

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  • Li, Cong
  • Liang, Zhongwen

Abstract

In this paper, we investigate the problem of estimating nonparametric and semiparametric panel data models with fixed effects. We focus on establishing the asymptotic results for estimators using smooth backfitting methods. We consider two estimators for the smooth unknown function in nonparametric panel regressions. One is a local linear estimator constructed similar as the one in Mammen et al. (2009) which was proposed for the additive nonparametric panel model. The other is the local profile likelihood based estimator proposed by Henderson et al. (2008) (HCL hereafter). We build the link and compare the difference between these two estimators which are constructed under different sets of conditions. We put both of these estimators in the smooth backfitting algorithm framework discussed in Mammen et al. (1999). Following the recently developed theories on backfitting kernel estimates in Mammen et al. (2009), we establish the asymptotic normality of these estimators, and hence verify the conjectures made by HCL and complement their paper. Further, we consider a partially linear fixed effects panel data model with the nonparametric component estimated using the methods discussed in the first part of the paper. We give the asymptotic result for the estimators of finite dimensional parameters, which shows that the first-step plug-in estimators will not affect the asymptotic variance in the second-step estimation.

Suggested Citation

  • Li, Cong & Liang, Zhongwen, 2015. "Asymptotics for nonparametric and semiparametric fixed effects panel models," Journal of Econometrics, Elsevier, vol. 185(2), pages 420-434.
    • Handle: RePEc:eee:econom:v:185:y:2015:i:2:p:420-434
    DOI: 10.1016/j.jeconom.2014.12.004
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    Cited by:

    1. Ruiqi Liu & Ben Boukai & Zuofeng Shang, 2019. "Statistical Inference on Partially Linear Panel Model under Unobserved Linearity," Papers 1911.08830, arXiv.org.
    2. Christopher F. Parmeter & Jeffrey S. Racine, 2018. "Nonparametric Estimation and Inference for Panel Data Models," Department of Economics Working Papers 2018-02, McMaster University.
    3. Green, Carl & Long, Wei & Hsiao, Cheng, 2015. "Testing error serial correlation in fixed effects nonparametric panel data models," Journal of Econometrics, Elsevier, vol. 188(2), pages 466-473.
    4. Sun, Yiguo & Malikov, Emir, 2018. "Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects," Journal of Econometrics, Elsevier, vol. 203(2), pages 359-378.
    5. Feng, Sanying & He, Wenqi & Li, Feng, 2020. "Model detection and estimation for varying coefficient panel data models with fixed effects," Computational Statistics & Data Analysis, Elsevier, vol. 152(C).
    6. Crane-Droesch, Andrew, 2017. "Semiparametric Panel Data Using Neural Networks," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258128, Agricultural and Applied Economics Association.

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    More about this item

    Keywords

    Panel data; Fixed effects; Nonparametric estimation; Backfitting;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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