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Panel nonparametric regression with fixed effects

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  • Lee, Jungyoon
  • Robinson, Peter M.

Abstract

Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specific components and allows also for cross-sectional and temporal dependence and conditional heteroscedasticity. A simple nonparametric estimate is shown to be dominated by a GLS-type one. Asymptotically optimal bandwidth choices are justified for both estimates. Feasible optimal bandwidths, and feasible optimal regression estimates, are also asymptotically justified. Finite sample performance is examined in a Monte Carlo study.

Suggested Citation

  • Lee, Jungyoon & Robinson, Peter M., 2015. "Panel nonparametric regression with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 346-362.
    • Handle: RePEc:eee:econom:v:188:y:2015:i:2:p:346-362
    DOI: 10.1016/j.jeconom.2015.03.004
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    References listed on IDEAS

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    Cited by:

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    3. Badi H. Baltagi & Georges Bresson & Jean-Michel Etienne, 2020. "Growth Empirics: a Bayesian Semiparametric Model With Random Coefficients for a Panel of OECD Countries," Advances in Econometrics, in: Essays in Honor of Cheng Hsiao, volume 41, pages 217-253, Emerald Group Publishing Limited.
    4. Phillips, Peter C.B. & Wang, Ying, 2022. "Functional coefficient panel modeling with communal smoothing covariates," Journal of Econometrics, Elsevier, vol. 227(2), pages 371-407.
    5. Sadik-Zada, Elkhan Richard & Gatto, Andrea, 2023. "Civic engagement and energy transition in the Nordic-Baltic Sea Region: Parametric and nonparametric inquiries," Socio-Economic Planning Sciences, Elsevier, vol. 87(PA).
    6. Wenhao Song & Chunhui Ye & Yuheng Liu & Weisong Cheng, 2021. "Do China’s Urban–Environmental Quality and Economic Growth Conform to the Environmental Kuznets Curve?," IJERPH, MDPI, vol. 18(24), pages 1-15, December.
    7. Elkhan Richard Sadik-Zada & Wilhelm Loewenstein, 2020. "Drivers of CO 2 -Emissions in Fossil Fuel Abundant Settings: (Pooled) Mean Group and Nonparametric Panel Analyses," Energies, MDPI, vol. 13(15), pages 1-24, August.
    8. Yashar Tarverdi, 2018. "Aspects of Governance and $$\hbox {CO}_2$$ CO 2 Emissions: A Non-linear Panel Data Analysis," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 69(1), pages 167-194, January.
    9. Elkhan Richard Sadik-Zada, 2021. "An Ode to ODA against all Odds? A Novel Game-Theoretical and Empirical Reappraisal of the Terrorism-Aid Nexus," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 49(2), pages 221-240, June.
    10. Godwin Olasehinde‐Williams & Ayodele Folorunso Oshodi, 2021. "Can Africa raise export competitiveness through economic complexity? Evidence from (non)‐parametric panel techniques," African Development Review, African Development Bank, vol. 33(3), pages 426-438, September.
    11. Wan-Jiun Chen, 2022. "Toward Sustainability: Dynamics of Total Carbon Dioxide Emissions, Aggregate Income, Non-Renewable Energy, and Renewable Power," Sustainability, MDPI, vol. 14(5), pages 1-27, February.
    12. Hua Liu & Youquan Pei & Qunfang Xu, 2020. "Estimation for varying coefficient panel data model with cross-sectional dependence," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(3), pages 377-410, April.

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    More about this item

    Keywords

    Panel data; Nonparametric regression; Cross-sectional dependence; Generalized least squares; Optimal bandwidth;
    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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