Classification of nonparametric regression functions in heterogeneous panels

Michael Vogt and Oliver Linton

No 06/15, CeMMAP working papers from Institute for Fiscal Studies

Abstract: We investigate a nonparametric panel model with heterogeneous regression functions. In a variety of applications, it is natural to impose a group structure on the regression curves. Specifically, we may suppose that the observed individuals can be grouped into a number of classes whose members all share the same regression function. We develop a statistical procedure to estimate the unknown group structure from the observed data. Moreover, we derive the asymptotic properties of the procedure and investigate its finite sample performance by means of a simulation study and a real-data example.

Date: 2015-02-20
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Working Paper: Classification of nonparametric regression functions in heterogeneous panels (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:azt:cemmap:06/15

DOI: 10.1920/wp.cem.2015.0615

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