Semiparametric estimation of partially linear dynamic panel data models with fixed effects

In this paper, we study a partially linear dynamic panel data model with fixed effects, where either exogenous or endogenous variables or both enter the linear part, and the lagged dependent variable together with some other exogenous variables enter the nonparametric part. Two types of estimation m...

Full description

Saved in:
Bibliographic Details
Main Authors: SU, Liangjun, ZHANG, Yonghui
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
GMM
Online Access:https://ink.library.smu.edu.sg/soe_research/1712
https://ink.library.smu.edu.sg/context/soe_research/article/2711/viewcontent/06_2015.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
id sg-smu-ink.soe_research-2711
record_format dspace
spelling sg-smu-ink.soe_research-27112019-04-19T06:30:49Z Semiparametric estimation of partially linear dynamic panel data models with fixed effects SU, Liangjun ZHANG, Yonghui In this paper, we study a partially linear dynamic panel data model with fixed effects, where either exogenous or endogenous variables or both enter the linear part, and the lagged dependent variable together with some other exogenous variables enter the nonparametric part. Two types of estimation methods are proposed for the first-differenced model. One is composed of a semiparametric GMM estimator for the finite dimensional parameter and a local polynomial estimator for the infinite dimensional parameter m based on the empirical solutions to Fredholm integral equations of the second kind, and the other is a sieve IV estimate of the parametric and nonparametric components jointly. We study the asymptotic properties for these two types of estimates when the number of individuals N tends to infinity and the time period T is fixed. We also propose a specification test for the linearity of the nonparametric component based on a weighted square distance between the parametric estimate under the linear restriction and the semiparametric estimate under the alternative. Monte Carlo simulations suggest that the proposed estimators and tests perform well in finite samples. We apply the model to study the relationship between intellectual property right (IPR) protection and economic growth, and find that IPR has a nonlinear positive effect on the economic growth rate. 2015-09-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1712 https://ink.library.smu.edu.sg/context/soe_research/article/2711/viewcontent/06_2015.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Additive structure Fredholm integral equation Generated covariate GMM Local polynomial regression Partially linear model Sieve method Time effect Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Additive structure
Fredholm integral equation
Generated covariate
GMM
Local polynomial regression
Partially linear model
Sieve method
Time effect
Econometrics
spellingShingle Additive structure
Fredholm integral equation
Generated covariate
GMM
Local polynomial regression
Partially linear model
Sieve method
Time effect
Econometrics
SU, Liangjun
ZHANG, Yonghui
Semiparametric estimation of partially linear dynamic panel data models with fixed effects
description In this paper, we study a partially linear dynamic panel data model with fixed effects, where either exogenous or endogenous variables or both enter the linear part, and the lagged dependent variable together with some other exogenous variables enter the nonparametric part. Two types of estimation methods are proposed for the first-differenced model. One is composed of a semiparametric GMM estimator for the finite dimensional parameter and a local polynomial estimator for the infinite dimensional parameter m based on the empirical solutions to Fredholm integral equations of the second kind, and the other is a sieve IV estimate of the parametric and nonparametric components jointly. We study the asymptotic properties for these two types of estimates when the number of individuals N tends to infinity and the time period T is fixed. We also propose a specification test for the linearity of the nonparametric component based on a weighted square distance between the parametric estimate under the linear restriction and the semiparametric estimate under the alternative. Monte Carlo simulations suggest that the proposed estimators and tests perform well in finite samples. We apply the model to study the relationship between intellectual property right (IPR) protection and economic growth, and find that IPR has a nonlinear positive effect on the economic growth rate.
format text
author SU, Liangjun
ZHANG, Yonghui
author_facet SU, Liangjun
ZHANG, Yonghui
author_sort SU, Liangjun
title Semiparametric estimation of partially linear dynamic panel data models with fixed effects
title_short Semiparametric estimation of partially linear dynamic panel data models with fixed effects
title_full Semiparametric estimation of partially linear dynamic panel data models with fixed effects
title_fullStr Semiparametric estimation of partially linear dynamic panel data models with fixed effects
title_full_unstemmed Semiparametric estimation of partially linear dynamic panel data models with fixed effects
title_sort semiparametric estimation of partially linear dynamic panel data models with fixed effects
publisher Institutional Knowledge at Singapore Management University
publishDate 2015
url https://ink.library.smu.edu.sg/soe_research/1712
https://ink.library.smu.edu.sg/context/soe_research/article/2711/viewcontent/06_2015.pdf
_version_ 1770572474390413312