Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects
In this paper, we consider semiparametric estimation in a partially linear single-index panel data model with fixed effects. Without taking the difference explicitly, we propose using a semiparametric minimum average variance estimation (SMAVE) based on a dummy-variable method to remove the fixed effects and obtain consistent estimators for both the parameters and the unknown link function. As both the cross section size and the time series length tend to infinity, we not only establish an asymptotically normal distribution for the estimators of the parameters in the single index and the linear component of the model, but also obtain an asymptotically normal distribution for the nonparametric local linear estimator of the unknown link function. The asymptotically normal distributions of the proposed estimators are similar to those obtained in the random effects case. In addition, we study several partially linear single-index dynamic panel data models. The methods and results are augmented by simulation studies and illustrated by an application to a cigarette-demand data set in the US from 1963-1992
|Date of creation:||Sep 2011|
|Contact details of provider:|| Postal: PO Box 11E, Monash University, Victoria 3800, Australia|
Phone: +61 3 99052489
Fax: +61 3 99055474
Web page: http://business.monash.edu/econometrics-and-business-statistics
More information through EDIRC
|Order Information:|| Web: http://business.monash.edu/econometrics-and-business-statistics Email: |
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.:
- Peter C.B. Phillips & Hyungsik R. Moon, 1999.
"Linear Regression Limit Theory for Nonstationary Panel Data,"
Cowles Foundation Discussion Papers
1222, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Econometrica, Econometric Society, vol. 67(5), pages 1057-1112, September.
- Zongwu Cai & Qi Li, 2013.
"Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models,"
WISE Working Papers
2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Cai, Zongwu & Li, Qi, 2008. "Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models," Econometric Theory, Cambridge University Press, vol. 24(05), pages 1321-1342, October.
- Li, Qi & Stengos, Thanasis, 1996. "Semiparametric estimation of partially linear panel data models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 389-397.
- Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521780506, December.
- Jeffrey Racine, 2008. "Nonparametric econometrics: a primer (in Russian)," Quantile, Quantile, issue 4, pages 7-56, March.
- Henderson, Daniel J. & Ullah, Aman, 2005. "A nonparametric random effects estimator," Economics Letters, Elsevier, vol. 88(3), pages 403-407, September.
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
- Xia, Yingcun, 2006. "Asymptotic Distributions For Two Estimators Of The Single-Index Model," Econometric Theory, Cambridge University Press, vol. 22(06), pages 1112-1137, December.
- 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.
- Dale J. Poirier, 1995. "Intermediate Statistics and Econometrics: A Comparative Approach," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262161494, September.
- 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.
- Badi H. Baltagi & Dong Li, "undated". "Series Estimation of Partially Linear Panel Data Models with Fixed Effects," Working Papers 0109, East Carolina University, Department of Economics.
- Xia, Yingcun & Härdle, Wolfgang, 2006. "Semi-parametric estimation of partially linear single-index models," Journal of Multivariate Analysis, Elsevier, vol. 97(5), pages 1162-1184, May.
- Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521785167, December.
- Vidar Hjellvik & Rong Chen & Dag Tjøstheim, 2004. "Nonparametric Estimation and Testing in Panels of Intercorrelated Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 831-872, November.
- Yingcun Xia & Howell Tong & W. K. Li & Li-Xing Zhu, 2002. "An adaptive estimation of dimension reduction space," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 363-410.
- Badi H. Baltagi & James M. Griffin & Weiwen Xiong, 2000. "To Pool Or Not To Pool: Homogeneous Versus Hetergeneous Estimations Applied to Cigarette Demand," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 117-126, February.
- 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.
When requesting a correction, please mention this item's handle: RePEc:msh:ebswps:2011-14. 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: (Dr Xibin Zhang)
If references are entirely missing, you can add them using this form.