Panel Nonparametric Regression with Fixed Effects

Jungyoon Lee and Peter M Robinson

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specifi c components and allows also for cross-sectional and temporal dependence and conditional heteroscedasticity. A simple nonparametric estimate is shown to be dominated by a GLS-type one. Asymptotically optimal bandwidth choices are justified for both estimates. Feasible optimal bandwidths, and feasi- ble optimal regression estimates, are asymptotically justifi ed, with fi nite sample performance examined in a Monte Carlo study.

Keywords: Panel data; Nonparametric regression; Cross-sectional dependence; Generalized least squares; Optimal bandwidth (search for similar items in EconPapers)
JEL-codes: C13 C14 C23 (search for similar items in EconPapers)
Date: 2013-03
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:569

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