Estimating semiparametric panel data models by marginal integration
We propose an alternative method for estimating the nonlinear component in semiparametric panel data models. Our method is based on marginal integration that allows us to recover the nonlinear component from an additive regression structure that results from the first differencing transformation. We characterize the asymptotic behavior of our estimator. We also extend the methodology to treat panel data models with two-way effects. Monte Carlo simulations show that our estimator behaves well in finite samples in both random effects and fixed effects settings.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Oliver Linton & David Jacho-Chávez, 2010. "On internally corrected and symmetrized kernel estimators for nonparametric regression," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 19(1), pages 166-186, May.
- Daniel L. Millimet & John A. List & Thanasis Stengos, 2003.
"The Environmental Kuznets Curve: Real Progress or Misspecified Models?,"
The Review of Economics and Statistics,
MIT Press, vol. 85(4), pages 1038-1047, November.
- Stengos, T. & Millimet, D.L. & List, J.A., 2002. "The Environmental Kuznets Curve: Real Progress or Misspecified Models?," Working Papers 2002-13, University of Guelph, Department of Economics and Finance.
- Li, Qi & Stengos, Thanasis, 1996. "Semiparametric estimation of partially linear panel data models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 389-397.
- Abhijit V. Banerjee & Esther Duflo, 2000.
"Inequality and Growth: What Can the Data Say?,"
NBER Working Papers
7793, National Bureau of Economic Research, Inc.
- Masry, Elias & Tjøstheim, Dag, 1997. "Additive Nonlinear ARX Time Series and Projection Estimates," Econometric Theory, Cambridge University Press, vol. 13(02), pages 214-252, April.
- Su, Liangjun & Ullah, Aman, 2006. "Profile likelihood estimation of partially linear panel data models with fixed effects," Economics Letters, Elsevier, vol. 92(1), pages 75-81, July.
- Mammen, Enno & Støve, Bård & Tjøstheim, Dag, 2009. "Nonparametric Additive Models For Panels Of Time Series," Econometric Theory, Cambridge University Press, vol. 25(02), pages 442-481, April.
- Naisyin Wang, 2003. "Marginal nonparametric kernel regression accounting for within-subject correlation," Biometrika, Biometrika Trust, vol. 90(1), pages 43-52, March.
- Hardle, W. & Marron, J., 1989.
"Bootstrap Simultaneous Error Bars For Nonparametric Regression,"
CORE Discussion Papers
1989023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Haerdle,W. & Marron,J.S., 1989. "Bootstrap simultaneous error bars for nonparametric regression," Discussion Paper Serie A 227, University of Bonn, Germany.
- KNEIP, Alois & SIMAR, Léopold, 1995.
"A General Framework for Frontier Estimation with Panel Data,"
CORE Discussion Papers
1995060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Kneip, A. & Simar, L., . "A general framework for frontier estimation with panel data," CORE Discussion Papers RP -1224, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Andrews, Donald W. K., 1991. "Asymptotic optimality of generalized CL, cross-validation, and generalized cross-validation in regression with heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 359-377, February.
- Su, Liangjun & Ullah, Aman, 2007. "More efficient estimation of nonparametric panel data models with random effects," Economics Letters, Elsevier, vol. 96(3), pages 375-380, September.
- Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
- Newey, Whitney K., 1994.
"Kernel Estimation of Partial Means and a General Variance Estimator,"
Cambridge University Press, vol. 10(02), pages 1-21, June.
- Newey, W.K., 1992. "Kernel Estimation of Partial Means and a General Variance Estimator," Working papers 93-3, Massachusetts Institute of Technology (MIT), Department of Economics.
- Hengartner, Nicolas W. & Sperlich, Stefan, 2005. "Rate optimal estimation with the integration method in the presence of many covariates," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 246-272, August.
- Li, Qi, 1996. "On the root-N-consistent semiparametric estimation of partially linear models," Economics Letters, Elsevier, vol. 51(3), pages 277-285, June.
When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:167:y:2012:i:2:p:483-493. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.