Profile likelihood estimation of partially linear panel data models with fixed effects

• Main Authors: SU, Liangjun, ULLAH, Aman
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2006
• Subjects: Fixed effects; Panel data; Partially linear models; Profile likelihood; Econometrics; Statistical Models
• Online Access: https://ink.library.smu.edu.sg/soe_research/1983; https://ink.library.smu.edu.sg/context/soe_research/article/2982/viewcontent/1_s20_S0165176506000413_main.pdf
• Institution: Singapore Management University

We consider consistent estimation of partially linear panel data models with fixed effects. We propose profile-likelihood-based estimators for both the parametric and nonparametric components in the models and establish convergence rates and asymptotic normality for both estimators.