Lee, Jungyoon and Robinson, Peter M. (2013) Panel nonparametric regression with fixed effects. Econometrics, EM/2013/569. The London School of Economics and Political Science, 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 (Technical Report) |
|---|---|
| Official URL: | http://sticerd.lse.ac.uk/ |
| Additional Information: | © 2013 The Authors |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory |
| Sets: | Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) |
| Identification Number: | EM/2013/569 |
| Funders: | Economic and Social Research Council (ESRC) |
| Projects: | ES/J007242/1 |
| Date Deposited: | 23 Jul 2014 13:35 |
| URL: | http://eprints.lse.ac.uk/58175/ |
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