IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v37y2016i5p690-708.html
   My bibliography  Save this article

Local Information Theoretic Methods for smooth Coefficients Dynamic Panel Data Models

Author

Listed:
  • Francesco Bravo

Abstract

No abstract is available for this item.

Suggested Citation

  • Francesco Bravo, 2016. "Local Information Theoretic Methods for smooth Coefficients Dynamic Panel Data Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 690-708, September.
    • Handle: RePEc:bla:jtsera:v:37:y:2016:i:5:p:690-708
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/jtsa.12190
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Whitney K. Newey & Richard J. Smith, 2004. "Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators," Econometrica, Econometric Society, vol. 72(1), pages 219-255, January.
    2. Yuichi Kitamura & Michael Stutzer, 1997. "An Information-Theoretic Alternative to Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 65(4), pages 861-874, July.
    3. Jinyong Hahn & Guido Kuersteiner, 2002. "Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both "n" and "T" Are Large," Econometrica, Econometric Society, vol. 70(4), pages 1639-1657, July.
    4. Cai, Zongwu & Li, Qi, 2008. "Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1321-1342, October.
    5. 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.
    6. Bravo, Francesco, 2002. "Blockwise empirical Cressie-Read test statistics for [alpha]-mixing processes," Statistics & Probability Letters, Elsevier, vol. 58(3), pages 319-325, July.
    7. Kien Tran & Efthymios Tsionas, 2010. "Local GMM Estimation of Semiparametric Panel Data with Smooth Coefficient Models," Econometric Reviews, Taylor & Francis Journals, vol. 29(1), pages 39-61.
    8. Lee, Yoonseok, 2014. "Nonparametric Estimation Of Dynamic Panel Models With Fixed Effects," Econometric Theory, Cambridge University Press, vol. 30(6), pages 1315-1347, December.
    9. Cai, Zongwu & Fan, Jianqing & Yao, Qiwei, 2000. "Functional-coefficient regression models for nonlinear time series," LSE Research Online Documents on Economics 6314, London School of Economics and Political Science, LSE Library.
    10. Henderson, Daniel J. & Carroll, Raymond J. & Li, Qi, 2008. "Nonparametric estimation and testing of fixed effects panel data models," Journal of Econometrics, Elsevier, vol. 144(1), pages 257-275, May.
    11. 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.
    12. Henderson, Daniel J. & Ullah, Aman, 2005. "A nonparametric random effects estimator," Economics Letters, Elsevier, vol. 88(3), pages 403-407, September.
    13. Fan, Jianqing & Wu, Yichao, 2008. "Semiparametric Estimation of Covariance Matrixes for Longitudinal Data," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1520-1533.
    14. Li, Qi & Stengos, Thanasis, 1996. "Semiparametric estimation of partially linear panel data models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 389-397.
    15. Xihong Lin & Raymond J. Carroll, 2006. "Semiparametric estimation in general repeated measures problems," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(1), pages 69-88, February.
    16. Cai, Zongwu, 2003. "Nonparametric estimation equations for time series data," Statistics & Probability Letters, Elsevier, vol. 62(4), pages 379-390, May.
    17. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.
    18. Francesco Bravo, 2005. "Blockwise empirical entropy tests for time series regressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 185-210, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Zongwu Cai & Linna Chen & Ying Fang, 2015. "Semiparametric Estimation of Partially Varying-Coefficient Dynamic Panel Data Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 695-719, December.
    2. Malikov, Emir & Kumbhakar, Subal C. & Sun, Yiguo, 2016. "Varying coefficient panel data model in the presence of endogenous selectivity and fixed effects," Journal of Econometrics, Elsevier, vol. 190(2), pages 233-251.
    3. Hamadi, Malika & Heinen, Andréas, 2015. "Firm performance when ownership is very concentrated: Evidence from a semiparametric panel," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 172-194.
    4. Li, Cong & Liang, Zhongwen, 2015. "Asymptotics for nonparametric and semiparametric fixed effects panel models," Journal of Econometrics, Elsevier, vol. 185(2), pages 420-434.
    5. Cai, Zongwu & Li, Qi, 2008. "Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1321-1342, October.
    6. Henderson, Daniel J. & Kumbhakar, Subal C. & Li, Qi & Parmeter, Christopher F., 2015. "Smooth coefficient estimation of a seemingly unrelated regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 148-162.
    7. Kusum Mundra, 2005. "Nonparametric Slope Estimators for Fixed-Effect Panel Data," Econometrics 0502008, University Library of Munich, Germany.
    8. Kien Tran & Efthymios Tsionas, 2010. "Local GMM Estimation of Semiparametric Panel Data with Smooth Coefficient Models," Econometric Reviews, Taylor & Francis Journals, vol. 29(1), pages 39-61.
    9. 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.
    10. Bravo, Francesco, 2023. "Local polynomial estimation of nonparametric general estimating equations," Statistics & Probability Letters, Elsevier, vol. 197(C).
    11. Jia Chen & Jiti Gao & Degui Li, 2013. "Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(3), pages 315-330, July.
    12. Su, Liangjun & Lu, Xun, 2013. "Nonparametric dynamic panel data models: Kernel estimation and specification testing," Journal of Econometrics, Elsevier, vol. 176(2), pages 112-133.
    13. Jia Chen & Jiti Gao & Degui Li, 2013. "Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 928-955, November.
    14. La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023. "A higher-order correct fast moving-average bootstrap for dependent data," Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
    15. Cavallaro, Eleonora & Villani, Ilaria, 2021. "Real income convergence and the patterns of financial integration in the EU," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    16. Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2011. "Empirical likelihood block bootstrapping," Journal of Econometrics, Elsevier, vol. 161(2), pages 110-121, April.
    17. Kan K & Lee M, 2009. "Lose Weight for Money Only if Over-Weight: Marginal Integration for Semi-Linear Panel Models," Health, Econometrics and Data Group (HEDG) Working Papers 09/19, HEDG, c/o Department of Economics, University of York.
    18. Zhang, Junhua & Feng, Sanying & Li, Gaorong & Lian, Heng, 2011. "Empirical likelihood inference for partially linear panel data models with fixed effects," Economics Letters, Elsevier, vol. 113(2), pages 165-167.
    19. Rodriguez-Poo, Juan M. & Soberón, Alexandra, 2015. "Nonparametric estimation of fixed effects panel data varying coefficient models," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 95-122.
    20. repec:wvu:wpaper:10-11 is not listed on IDEAS
    21. Daniel J. Henderson, 2010. "A test for multimodality of regression derivatives with application to nonparametric growth regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(3), pages 458-480.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:37:y:2016:i:5:p:690-708. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.