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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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Identification Number: 10.1016/j.jeconom.2015.03.004

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
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
Sets: Departments > Economics
Collections > Economists Online
Date Deposited: 01 Apr 2015 09:00
Last Modified: 13 Nov 2015 11:59
Projects: ES/J007242/1
Funders: Economic and Social Research Council
URI: http://eprints.lse.ac.uk/id/eprint/61431

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