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Semiparametric Estimation of Partially Linear Varying Coefficient Panel Data Models

In: Essays in Honor of Aman Ullah

Author

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  • An Yonghong
  • Hsiao Cheng
  • Li Dong

Abstract

This paper considers the problem of estimating a partially linear varying coefficient fixed effects panel data model. Using the series method, we establish the rootNnormality for the estimator of the parametric component; and we show that the unknown function can be consistently estimated at the standard nonparametric rate. Furthermore, we extend the model to allow endogeneity in the parametric component and establish the asymptotic properties of the semiparametric instrumental variable estimators.

Suggested Citation

  • An Yonghong & Hsiao Cheng & Li Dong, 2016. "Semiparametric Estimation of Partially Linear Varying Coefficient Panel Data Models," Advances in Econometrics, in: Essays in Honor of Aman Ullah, volume 36, pages 47-65, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-905320160000036011
    DOI: 10.1108/S0731-905320160000036011
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    Citations

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    Cited by:

    1. Li, Jianglong & Liu, Hongxun & Du, Kerui, 2019. "Does market-oriented reform increase energy rebound effect? Evidence from China's regional development," China Economic Review, Elsevier, vol. 56(C), pages 1-1.
    2. Bogui Li & Jianbao Chen & Shuangshuang Li, 2023. "Estimation of Fixed Effects Partially Linear Varying Coefficient Panel Data Regression Model with Nonseparable Space-Time Filters," Mathematics, MDPI, vol. 11(6), pages 1-24, March.
    3. Du, Kerui & Yu, Ying & Wei, Chu, 2020. "Climatic impact on China's residential electricity consumption: Does the income level matter?," China Economic Review, Elsevier, vol. 63(C).
    4. Du, Kerui & Yu, Ying & Li, Jing, 2020. "Does international trade promote CO2 emission performance? An empirical analysis based on a partially linear functional-coefficient panel data model," Energy Economics, Elsevier, vol. 92(C).

    More about this item

    Keywords

    Partially linear; varying coefficient; semiparametric; panel data; C14; C23;
    All these keywords.

    JEL classification:

    • 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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