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Semiparametric estimation of a nonstationary panel data transformation model under symmetry

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  • Zhou, Yahong
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    Abstract

    This paper considers semiparametric estimation of a nonstationary transformation model with panel data. One of the drawbacks of most existing semiparametric procedures is the requirement of stationarity assumption. Under a symmetry condition, a new estimator is proposed, allowing for nonstationarity of the disturbance.

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    File URL: http://www.sciencedirect.com/science/article/B6V84-4NYSXB2-1/1/a441cf8c8fc100f5063b7775ebd120c3
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 99 (2008)
    Issue (Month): 1 (April)
    Pages: 107-110

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    Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:107-110

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    Web page: http://www.elsevier.com/locate/ecolet

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    1. Abrevaya, Jason, 1999. "Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 93(2), pages 203-228, December.
    2. Sherman, Robert P, 1993. "The Limiting Distribution of the Maximum Rank Correlation Estimator," Econometrica, Econometric Society, vol. 61(1), pages 123-37, January.
    3. Manski, Charles F, 1987. "Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data," Econometrica, Econometric Society, vol. 55(2), pages 357-62, March.
    4. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November.
    5. Klein, R.W. & Spady, R.H., 1991. "An Efficient Semiparametric Estimator for Binary Response Models," Papers 70, Bell Communications - Economic Research Group.
    6. Han, Aaron K., 1987. "Non-parametric analysis of a generalized regression model : The maximum rank correlation estimator," Journal of Econometrics, Elsevier, vol. 35(2-3), pages 303-316, July.
    7. Lee, Lung-Fei, 1994. "Semiparametric instrumental variable estimation of simultaneous equation sample selection models," Journal of Econometrics, Elsevier, vol. 63(2), pages 341-388, August.
    8. Ekaterini Kyriazidou, 1997. "Estimation of a Panel Data Sample Selection Model," Econometrica, Econometric Society, vol. 65(6), pages 1335-1364, November.
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