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Nonparametric Panel Data Models, A Penalized Spline Approach

  • Gholamreza Hajargasht

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

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.

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File URL: http://www.uq.edu.au/economics/cepa/docs/WP/WP052009.pdf
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Paper provided by School of Economics, University of Queensland, Australia in its series CEPA Working Papers Series with number WP052009.

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Date of creation: 2009
Date of revision:
Handle: RePEc:qld:uqcepa:72
Contact details of provider: Postal: St. Lucia, Qld. 4072
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Web page: http://www.uq.edu.au/economics/
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  1. repec:cup:cbooks:9780521785167 is not listed on IDEAS
  2. Henderson, Daniel J. & Ullah, Aman, 2005. "A nonparametric random effects estimator," Economics Letters, Elsevier, vol. 88(3), pages 403-407, September.
  3. Smith, Michael & Kohn, Robert, 1996. "Nonparametric regression using Bayesian variable selection," Journal of Econometrics, Elsevier, vol. 75(2), pages 317-343, December.
  4. repec:cup:cbooks:9780521780506 is not listed on IDEAS
  5. 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.
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