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Non- and Semi-Parametric Panel Data Models: A Selective Review

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  • Jia Chen
  • Degui Li
  • Jiti Gao

Abstract

This article provides a selective review on the recent developments of some nonlinear nonparametric and semiparametric panel data models. In particular, we focus on two types of modelling frameworks: nonparametric and semiparametric panel data models with deterministic trends, and semiparametric single-index panel data models with individual effects. We also review various estimation methodologies which can consistently estimate both the parametric and nonparametric components in these models. The time series length and cross-sectional size in this article are allowed to be very large, under which the panel data are called “large dimensional panels".

Suggested Citation

  • Jia Chen & Degui Li & Jiti Gao, 2013. "Non- and Semi-Parametric Panel Data Models: A Selective Review," Monash Econometrics and Business Statistics Working Papers 18/13, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:msh:ebswps:2013-18
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    File URL: http://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp18-13.pdf
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    References listed on IDEAS

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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. Peter Pütz & Thomas Kneib, 2018. "A penalized spline estimator for fixed effects panel data models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(2), pages 145-166, April.
    3. Peter Pütz & Thomas Kneib, 2016. "A Penalized Spline Estimator for Fixed Effects Panel Data Models," SOEPpapers on Multidisciplinary Panel Data Research 827, DIW Berlin, The German Socio-Economic Panel (SOEP).
    4. 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.

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    Keywords

    Deterministic trends; local linear fitting; panel data; semiparametric estimation; single-index models;
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