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

• Main Authors: SU, Liangjun, ULLAH, Aman
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2006
• 主題: Fixed effects; Panel data; Partially linear models; Profile likelihood; Econometrics; Statistical Models
• 在線閱讀: 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

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.