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Panel nonparametric regression with fixed effects

Lee, Jungyoon and Robinson, Peter M. (2013) Panel nonparametric regression with fixed effects. Econometrics (EM/2013/569). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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Abstract

Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specifi…c components and allows also for cross-sectional and temporal dependence and conditional heteroscedasticity. A simple nonparametric estimate is shown to be dominated by a GLS-type one. Asymptotically optimal bandwidth choices are justified for both estimates. Feasible optimal bandwidths, and feasi- ble optimal regression estimates, are asymptotically justifi…ed, with fi…nite sample performance examined in a Monte Carlo study.

Item Type: Monograph (Report)
Official URL: http://sticerd.lse.ac.uk/
Additional Information: © 2013 The Authors
Divisions: Economics
STICERD
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 23 Jul 2014 13:35
Last Modified: 13 Sep 2024 16:49
Projects: ES/J007242/1
Funders: Economic and Social Research Council
URI: http://eprints.lse.ac.uk/id/eprint/58175

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