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Nonparametric Panel Data Models, A Penalized Spline Approach

Author

Listed:
  • Gholamreza Hajargasht

    (CEPA - School of Economics, The University of Queensland)

Abstract

In this paper, we study estimation of fixed and random effects nonparametric panel data models using penalized splines and its mixed model variant. We define a "within" and a "dummy variable" estimator and show their equivalence which can be used as an argument for consistency of the dummy variable estimator when the effects are correlated with regressors. We prove nonparametric counterparts to a variety of the relations between parametric fixed and random effects estimators. Another feature of the approach followed in this paper is the potential to estimate models with heteroscedasticity and autocorrelation in the error term without difficulty. We provide a simulation experiment to illustrate the performance of the estimators.

Suggested Citation

  • Gholamreza Hajargasht, 2009. "Nonparametric Panel Data Models, A Penalized Spline Approach," CEPA Working Papers Series WP052009, School of Economics, University of Queensland, Australia.
  • Handle: RePEc:qld:uqcepa:72
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    File URL: http://www.uq.edu.au/economics/cepa/docs/WP/WP052009.pdf
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    References listed on IDEAS

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    1. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521785167.
    2. Smith, Michael & Kohn, Robert, 1996. "Nonparametric regression using Bayesian variable selection," Journal of Econometrics, Elsevier, vol. 75(2), pages 317-343, December.
    3. Henderson, Daniel J. & Ullah, Aman, 2005. "A nonparametric random effects estimator," Economics Letters, Elsevier, vol. 88(3), pages 403-407, September.
    4. 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.
    5. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521780506.
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    Cited by:

    1. Peter Pütz & Thomas Kneib, 2016. "A Penalized Spline Estimator for Fixed Effects Panel Data Models," SOEPpapers on Multidisciplinary Panel Data Research 827, DIW Berlin, The German Socio-Economic Panel (SOEP).

    More about this item

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • D24 - Microeconomics - - Production and Organizations - - - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity

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