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Estimating partially linear panel data models with one-way error components

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  • Qi Li
  • Aman Ullha
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    Abstract

    We consider the problem of estimating a partially linear panel data model whenthe error follows an one-way error components structure. We propose a feasiblesemiparametric generalized least squares (GLS) type estimator for estimating the coefficient of the linear component and show that it is asymptotically more efficient than a semiparametric ordinary least squares (OLS) type estimator. We also discussed the case when the regressor of the parametric component is correlated with the error, and propose an instrumental variable GLS-type semiparametric estimator.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/07474939808800409
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

    Volume (Year): 17 (1998)
    Issue (Month): 2 ()
    Pages: 145-166

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    Handle: RePEc:taf:emetrv:v:17:y:1998:i:2:p:145-166

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    Related research

    Keywords: Partially linear model; individual effects; semiparametric estimation; generalized least squares method; instrumental variable;

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    Cited by:
    1. You, Jinhong & Zhou, Xian & Zhou, Yong, 2010. "Statistical inference for panel data semiparametric partially linear regression models with heteroscedastic errors," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1079-1101, May.
    2. Baltagi, Badi H. & Li, Qi, 2002. "On instrumental variable estimation of semiparametric dynamic panel data models," Economics Letters, Elsevier, vol. 76(1), pages 1-9, June.
    3. Su, Liangjun & Ullah, Aman, 2007. "More efficient estimation of nonparametric panel data models with random effects," Economics Letters, Elsevier, vol. 96(3), pages 375-380, September.
    4. 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.
    5. Hübler, Olaf, 2005. "Panel Data Econometrics: Modelling and Estimation," Hannover Economic Papers (HEP) dp-319, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    6. Kusum Mundra, 2005. "Nonparametric Slope Estimators for Fixed-Effect Panel Data," Econometrics 0502008, EconWPA.
    7. Feng Yao & Junsen Zhang, 2010. "Efficient semiparametric instrumental variable estimation," Working Papers 10-11, Department of Economics, West Virginia University.
    8. Henderson, Daniel J. & Ullah, Aman, 2005. "A nonparametric random effects estimator," Economics Letters, Elsevier, vol. 88(3), pages 403-407, September.
    9. You, Jinhong & Zhou, Xian, 2006. "Statistical inference in a panel data semiparametric regression model with serially correlated errors," Journal of Multivariate Analysis, Elsevier, vol. 97(4), pages 844-873, April.

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