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Nonparametric trending regression with cross-sectional dependence

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  • Robinson, Peter M.
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    Abstract

    Panel data, whose series length T is large but whose cross-section size N need not be, are assumed to have common time trend, of unknown form. The model includes additive, unknown, individual-specific components and allows for spatial or other cross-sectional dependence and/or heteroscedasticity. A simple smoothed nonparametric trend estimate is shown to be dominated by an estimate which exploits availability of cross-sectional data. Asymptotically optimal bandwidth choices are justified for both estimates. Feasible optimal bandwidths, and feasible optimal trend estimates, are asymptotically justified, finite sample performance of the latter being examined in a Monte Carlo study. Potential extensions are discussed.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0304407612000061
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 169 (2012)
    Issue (Month): 1 ()
    Pages: 4-14

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    Handle: RePEc:eee:econom:v:169:y:2012:i:1:p:4-14

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

    Related research

    Keywords: Panel data; Nonparametric time trend; Cross-sectional dependence; Generalized least squares; Optimal bandwidth;

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    References

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    1. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
    2. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, EconWPA.
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    Cited by:
    1. Jiti Gao & Peter M. Robinson, 2013. "Inference on Nonstationary Time Series with Moving Mean," Monash Econometrics and Business Statistics Working Papers 15/13, Monash University, Department of Econometrics and Business Statistics.
    2. Jia Chen & Jiti Gao & Degui Li, 2011. "Semiparametric Trending Panel Data Models with Cross-Sectional Dependence," Monash Econometrics and Business Statistics Working Papers 15/11, Monash University, Department of Econometrics and Business Statistics.
    3. Jia Chen & Jiti Gao, 2014. "Semiparametric Model Selection in Panel Data Models with Deterministic Trends and Cross-Sectional Dependence," Monash Econometrics and Business Statistics Working Papers 15/14, Monash University, Department of Econometrics and Business Statistics.
    4. Jungyoon Lee & Peter M Robinson, 2013. "Panel Nonparametric Regression with Fixed Effects," STICERD - Econometrics Paper Series /2013/569, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    5. 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.

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