Series Estimation of Partially Linear Panel Data Models with Fixed Effects
This paper considers the problem of estimating a partially linear semiparametric fixed effects panel data model with possible endogeneity. Using the series method, we establish the root N normality result for the estimator of the parametric component, and we show that the unknown function can be consistently estimated at the standard nonparametric rate.
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- Sperlich, Stefan & Tjøstheim, Dag & Yang, Lijian, 1998.
"Nonparametric estimation and testing of interaction in additive models,"
SFB 373 Discussion Papers
1998,14, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Sperlich, Stefan & Tj stheim, Dag & Yang, Lijian, 2002. "Nonparametric Estimation And Testing Of Interaction In Additive Models," Econometric Theory, Cambridge University Press, vol. 18(02), pages 197-251, April.
- Yang, Lijian & Tjostheim, Dag & Sperlich, Stefan, 1999. "Nonparametric estimation and testing of interaction in additive models," DES - Working Papers. Statistics and Econometrics. WS 6387, Universidad Carlos III de Madrid. Departamento de Estadística.
- Li, Qi, 2000. "Efficient Estimation of Additive Partially Linear Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 41(4), pages 1073-92, November.
- Li, Qi & Stengos, Thanasis, 1996. "Semiparametric estimation of partially linear panel data models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 389-397.
- Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
- J. FAN & Wolfgang HÄRDLE & Enno MAMMEN, 1996. "Direct estimation of low dimensional components in additive models," SFB 373 Discussion Papers 1996,17, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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