Nonparametric estimation of fixed effects panel data models

被引：9

作者：

Gao, Yichen ^{[1
]}

Li, Kunpeng ^{[1
]}

机构：

[1] Capital Univ Econ & Business, Int Sch Econ & Management, Beijing 100070, Peoples R China

来源：

JOURNAL OF NONPARAMETRIC STATISTICS | 2013年 / 25卷 / 03期

关键词：

fixed effects; profile least-squares method; nonparametric estimation; panel data; REGRESSION;

D O I：

10.1080/10485252.2013.808744

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we consider the problem of estimating a nonparametric panel data models with fixed effects. We propose using the profile least-squares method to concentrate out the fixed effects and then estimate the unknown function by the kernel method. We show that our proposed estimator is consistent and has an asymptotically normal distribution. Monte Carlo simulations show that our proposed estimator performs well compared with several existing estimators.

引用

页码：679 / 693

页数：15

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