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The law of iterated logarithm of estimators for partially linear panel data models

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  • You, Jinhong
  • Zhou, Xian

Abstract

This paper studies the asymptotic theory for a semiparametric partially linear panel data model with a one-way error component structure, which has a wide range of applications in many important areas. We establish the law of iterated logarithm of the feasible semiparametric generalized least squares estimator of the linear regression coefficients as well as the estimators of the one-way error variances. In addition, the optimal strong convergence rate of the estimator of the function for the nonlinear component is derived as well.

Suggested Citation

  • You, Jinhong & Zhou, Xian, 2005. "The law of iterated logarithm of estimators for partially linear panel data models," Statistics & Probability Letters, Elsevier, vol. 75(4), pages 267-279, December.
    • Handle: RePEc:eee:stapro:v:75:y:2005:i:4:p:267-279
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    References listed on IDEAS

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    3. Qi Li & Aman Ullha, 1998. "Estimating partially linear panel data models with one-way error components," Econometric Reviews, Taylor & Francis Journals, vol. 17(2), pages 145-166.
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    7. Xuming He, 2002. "Estimation in a semiparametric model for longitudinal data with unspecified dependence structure," Biometrika, Biometrika Trust, vol. 89(3), pages 579-590, August.
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