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Nonparametric estimation of fixed effects panel data models

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  • Yichen Gao
  • Kunpeng Li

Abstract

In this paper, we consider the problem of estimating a nonparametric panel data models with fixed effects. We propose using the profile least-squares method to concentrate out the fixed effects and then estimate the unknown function by the kernel method. We show that our proposed estimator is consistent and has an asymptotically normal distribution. Monte Carlo simulations show that our proposed estimator performs well compared with several existing estimators.

Suggested Citation

  • Yichen Gao & Kunpeng Li, 2013. "Nonparametric estimation of fixed effects panel data models," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(3), pages 679-693, September.
    • Handle: RePEc:taf:gnstxx:v:25:y:2013:i:3:p:679-693
    DOI: 10.1080/10485252.2013.808744
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    References listed on IDEAS

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    1. Henderson, Daniel J. & Carroll, Raymond J. & Li, Qi, 2008. "Nonparametric estimation and testing of fixed effects panel data models," Journal of Econometrics, Elsevier, vol. 144(1), pages 257-275, May.
    2. Su, Liangjun & Ullah, Aman, 2006. "Profile likelihood estimation of partially linear panel data models with fixed effects," Economics Letters, Elsevier, vol. 92(1), pages 75-81, July.
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    Cited by:

    1. Christopher F. Parmeter & Jeffrey S. Racine, 2018. "Nonparametric Estimation and Inference for Panel Data Models," Department of Economics Working Papers 2018-02, McMaster University.
    2. Aman Ullah & Tao Wang & Weixin Yao, 2021. "Modal regression for fixed effects panel data," Empirical Economics, Springer, vol. 60(1), pages 261-308, January.
    3. Juan Rodriguez-Poo & Alexandra Soberón, 2015. "Differencing techniques in semi-parametric panel data varying coefficient models with fixed effects: a Monte Carlo study," Computational Statistics, Springer, vol. 30(3), pages 885-906, September.
    4. Yazan Oroud & Md. Aminul Islam & Tunku Salha Tunku Ahmad & Anas Ghazalat, 2019. "Does Audit Quality Moderate the Relationship between Accounting Information and the Share Price? Evidence from Jordan," International Business Research, Canadian Center of Science and Education, vol. 12(3), pages 58-65, March.
    5. Xuan Liang & Jiti Gao & Xiaodong Gong, 2022. "Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(4), pages 1784-1802, October.
    6. Xuan Liang & Jiti Gao & Xiaodong Gong, 2019. "Time-Varying Coefficient Spatial Autoregressive Panel Data Model with Fixed Effects," Monash Econometrics and Business Statistics Working Papers 26/19, Monash University, Department of Econometrics and Business Statistics.
    7. 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.

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