Panel nonparametric regression with fixed effects

Lee, Jungyoon and Robinson, Peter (2015) Panel nonparametric regression with fixed effects. Journal of Econometrics, 188 (2). pp. 346-362. ISSN 0304-4076

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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-specific 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 feasible optimal regression estimates, are also asymptotically justified. Finite sample performance is examined in a Monte Carlo study.

Item Type:	Article
Official URL:	http://www.sciencedirect.com/science/article/pii/S...
Additional Information:	© 2015 The Authors © CC BY 4.0
Divisions:	Economics
Subjects:	H Social Sciences > HB Economic Theory
JEL classification:	C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C23 - Models with Panel Data
Date Deposited:	01 Apr 2015 09:00
Last Modified:	17 Oct 2024 17:17
Projects:	ES/J007242/1
Funders:	Economic and Social Research Council
URI:	http://eprints.lse.ac.uk/id/eprint/61431

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