Nonparametric dynamic panel data models: Kernel estimation and specification testing

Nonparametric dynamic panel data models: Kernel estimation and specification testing

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 exogenous regressors. The estimators utilize the additive structure of the first-differenced model—the fact...

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Bibliographic Details
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/1555
https://ink.library.smu.edu.sg/context/soe_research/article/2554/viewcontent/NonparametricDynamicPanelDataModels_2012_pp.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1555
https://ink.library.smu.edu.sg/context/soe_research/article/2554/viewcontent/NonparametricDynamicPanelDataModels_2012_pp.pdf

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