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Nonparametric estimation of functional-coefficient partially linear dynamic panel data model with fixed effects

Author

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  • Kien C Tran

    (University of Lethrbidge)

Abstract

In this paper we propose a stationary nonlinear dynamic functional coefficient panel data models with fixed effects and develops semiparametric estimation procedure using series approximation. Convergence rate and asymptotic distribution of the proposed series estimators are derived in which asymptotic biases are present. Bias corrections are developed using a heteroskedasticity and autocorrelation consistent (HAC) type estimator.

Suggested Citation

  • Kien C Tran, 2014. "Nonparametric estimation of functional-coefficient partially linear dynamic panel data model with fixed effects," Economics Bulletin, AccessEcon, vol. 34(3), pages 1751-1761.
    • Handle: RePEc:ebl:ecbull:eb-14-00309
    as

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    References listed on IDEAS

    as
    1. Xiaohong Chen & Xiaotong Shen, 1998. "Sieve Extremum Estimates for Weakly Dependent Data," Econometrica, Econometric Society, vol. 66(2), pages 289-314, March.
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    More about this item

    Keywords

    Dynamic panel; fixed effects; functional-coefficient partially linear; series estimation; convergence rate; asymptotic normality; bias correction.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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