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

• Main Authors: SU, Liangjun, ZHANG, Yonghui
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Additive structure; Fredholm integral equation; Generated covariate; GMM; Local polynomial regression; Partially linear model; Sieve method; Time effect; Econometrics
• 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
• Institution: Singapore Management University

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...