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 2016
• Subjects: Fredholm integral equation; generated covariate; GMM; local polynomial regression; partially linear model; Sieve method; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2256; https://ink.library.smu.edu.sg/context/soe_research/article/3255/viewcontent/Semiparametric_estimation_of_partially_linear_dynamic_panel_data_sv.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...