Nonparametric Dynamic Panel Data Models: Kernel Estimation and Specification Testing

• Main Authors: SU, Liangjun, LU, Xun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Additive models; Dynamic panel data models; Fredholm integral equation; Iterative estimator; Linearity; Local polynomial regression; Specification test; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1492; https://ink.library.smu.edu.sg/context/soe_research/article/2491/viewcontent/nonpara.pdf
• Institution: Singapore Management University

Motivated by the first differencing method for linear panel data models, we propose a class of iterative local polynomial estimators for nonparametric dynamic panel data models with or without exogeous regressors. The estimators utilize the additive structure of the first-differenced model, the fact...