Nonparametric Dynamic Panel Data Models with Interactive Fixed Effects: Sieve Estimation and Specification Testing

Nonparametric Dynamic Panel Data Models with Interactive Fixed Effects: Sieve Estimation and Specification Testing

In this paper we analyze nonparametric dynamic panel data models with interactive fixed effects, where the predetermined regressors enter the models nonparametrically and the common factors enter the models linearly but with individual specific factor loadings. We consider the issues of estimation a...

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Bibliographic Details
Main Authors: SU, Liangjun, ZHANG, Yonghui
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
Subjects:
Common factors
Cross section dependence
Interactive fixed effects
Linearity
Nonparametric dynamic panel
Sieve method
Specification test
Econometrics
Economics
Online Access:https://ink.library.smu.edu.sg/soe_research/1560
https://ink.library.smu.edu.sg/context/soe_research/article/2559/viewcontent/NonparametricDynamic_PanelDataModels_InteractiveFixedEffects_2013_wp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1560
https://ink.library.smu.edu.sg/context/soe_research/article/2559/viewcontent/NonparametricDynamic_PanelDataModels_InteractiveFixedEffects_2013_wp.pdf

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