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Series Estimation of Partially Linear Panel Data Models with Fixed Effects

Author

Listed:
  • Badi H. Baltagi

    (Texas A&M University, Department of Economics)

  • Dong Li

    (Department of Economics, Kansa State University)

Abstract

This paper considers the problem of estimating a partially linear semiparametric fixed effects panel data model with possible endogeneity. Using the series method, we establish the root N normality result for the estimator of the parametric component, and we show that the unknown function can be consistently estimated at the standard nonparametric rate.

Suggested Citation

  • Badi H. Baltagi & Dong Li, 2002. "Series Estimation of Partially Linear Panel Data Models with Fixed Effects," Annals of Economics and Finance, Society for AEF, vol. 3(1), pages 103-116, May.
    • Handle: RePEc:cuf:journl:y:2002:v:3:i:1:p:103-116
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    References listed on IDEAS

    as
    1. Fan, J. & Härdle, Wolfgang & Mammen, Enno, 1996. "Direct estimation of low dimensional components in additive models," SFB 373 Discussion Papers 1996,17, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Sperlich, Stefan & Tjøstheim, Dag & Yang, Lijian, 2002. "Nonparametric Estimation And Testing Of Interaction In Additive Models," Econometric Theory, Cambridge University Press, vol. 18(2), pages 197-251, April.
    3. Boozer, Michael A., 1997. "Econometric Analysis of Panel DataBadi H. Baltagi Wiley, 1995," Econometric Theory, Cambridge University Press, vol. 13(5), pages 747-754, October.
    4. Newey, Whitney K., 1994. "Kernel Estimation of Partial Means and a General Variance Estimator," Econometric Theory, Cambridge University Press, vol. 10(2), pages 1-21, June.
    5. Li, Qi & Stengos, Thanasis, 1996. "Semiparametric estimation of partially linear panel data models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 389-397.
    6. Li, Qi, 2000. "Efficient Estimation of Additive Partially Linear Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 41(4), pages 1073-1092, November.
    7. Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Panel data; Series method; Fixed effects; Additive models;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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