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Statistical Inference for Single-index Panel Data Models

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  • Liping Zhu
  • Jinhong You
  • Qunfang Xu

Abstract

type="main" xml:id="sjos12067-abs-0001"> We study estimation and hypothesis testing in single-index panel data models with individual effects. Through regressing the individual effects on the covariates linearly, we convert the estimation problem in single-index panel data models to that in partially linear single-index models. The conversion is valid regardless of the individual effects being random or fixed. We propose an estimating equation approach, which has a desirable double robustness property. We show that our method is applicable in single-index panel data models with heterogeneous link functions. We further design a chi-squared test to evaluate whether the individual effects are random or fixed. We conduct simulations to demonstrate the finite sample performance of the method and conduct a data analysis to illustrate its usefulness.

Suggested Citation

  • Liping Zhu & Jinhong You & Qunfang Xu, 2014. "Statistical Inference for Single-index Panel Data Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(3), pages 830-843, September.
    • Handle: RePEc:bla:scjsta:v:41:y:2014:i:3:p:830-843
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    References listed on IDEAS

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    Cited by:

    1. Qihua Wang & Tao Zhang & Wolfgang Karl Härdle, 2016. "An Extended Single-index Model with Missing Response at Random," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(4), pages 1140-1152, December.

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