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Kernel estimation for panel data with heterogeneous dynamics

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  • Ryo Okui
  • Takahide Yanagi

Abstract

SummaryThis paper proposes nonparametric kernel-smoothing estimation for panel data to examine the degree of heterogeneity across cross-sectional units. We first estimate the sample mean, autocovariances, and autocorrelations for each unit and then apply kernel smoothing to compute their density functions. The dependence of the kernel estimator on bandwidth makes asymptotic bias of very high order affect the required condition on the relative magnitudes of the cross-sectional sample size () and the time-series length (). In particular, it makes the condition onandstronger and more complicated than those typically observed in the long-panel literature without kernel smoothing. We also consider a split-panel jackknife method to correct bias and construction of confidence intervals. An empirical application illustrates our procedure.

Suggested Citation

  • Ryo Okui & Takahide Yanagi, 2020. "Kernel estimation for panel data with heterogeneous dynamics," The Econometrics Journal, Royal Economic Society, vol. 23(1), pages 156-175.
    • Handle: RePEc:oup:emjrnl:v:23:y:2020:i:1:p:156-175.
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    File URL: http://hdl.handle.net/10.1093/ectj/utz019
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    Cited by:

    1. Jochmans, Koen & Weidner, Martin, 2024. "Inference On A Distribution From Noisy Draws," Econometric Theory, Cambridge University Press, vol. 40(1), pages 60-97, February.
    2. Okui, Ryo & Yanagi, Takahide, 2019. "Panel data analysis with heterogeneous dynamics," Journal of Econometrics, Elsevier, vol. 212(2), pages 451-475.
    3. M. Hashem Pesaran & Liying Yang, 2024. "Heterogeneous autoregressions in short T panel data models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(7), pages 1359-1378, November.
    4. Yazgan, M. Ege & Yilmazkuday, Hakan, 2011. "Price-level convergence: New evidence from U.S. cities," Economics Letters, Elsevier, vol. 110(2), pages 76-78, February.
    5. Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022. "Skill, Scale, and Value Creation in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 77(1), pages 601-638, February.
    6. St'ephane Bonhomme & Martin Weidner, 2019. "Posterior Average Effects," Papers 1906.06360, arXiv.org, revised Sep 2021.
    7. Mohd Alsaleh & A. S. Abdul-Rahim, 2022. "An evaluation of bioenergy industry sustainability impacts on forest degradation: evidence from European Union economies," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 24(2), pages 1738-1760, February.

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