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Non-parametric regression with a latent time series

Author

Listed:
  • Oliver Linton
  • Jens Perch Nielsen
  • Søren Feodor Nielsen

Abstract

In this paper we investigate a class of semi-parametric models for panel data sets where the cross-section and time dimensions are large. Our model contains a latent time series that is to be estimated and perhaps forecasted along with a non-parametric covariate effect. Our model is motivated by the need to be flexible with regard to the functional form of covariate effects but also the need to be practical with regard to forecasting of time series effects. We propose estimation procedures based on local linear kernel smoothing; our estimators are all explicitly given. We establish the pointwise consistency and asymptotic normality of our estimators. We also show that the effects of estimating the latent time series can be ignored in certain cases. Copyright © 2009 The Author(s). Journal compilation © Royal Economic Society 2009

Suggested Citation

  • Oliver Linton & Jens Perch Nielsen & Søren Feodor Nielsen, 2009. "Non-parametric regression with a latent time series," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 187-207, July.
    • Handle: RePEc:ect:emjrnl:v:12:y:2009:i:2:p:187-207
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    Cited by:

    1. Mammen, Enno & Park, Byeong U. & Schienle, Melanie, 2012. "Additive models: Extensions and related models," SFB 649 Discussion Papers 2012-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Boneva, Lena & Linton, Oliver & Vogt, Michael, 2015. "A semiparametric model for heterogeneous panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 327-345.
    3. repec:hum:wpaper:sfb649dp2012-045 is not listed on IDEAS
    4. Buch-Kromann, Tine & Guillén, Montserrat & Linton, Oliver & Nielsen, Jens Perch, 2011. "Multivariate density estimation using dimension reducing information and tail flattening transformations," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 99-110, January.
    5. Dursun Aydın & Ersin Yılmaz, 2021. "Semiparametric modeling of the right-censored time-series based on different censorship solution techniques," Empirical Economics, Springer, vol. 61(4), pages 2143-2172, October.

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