Nonparametric trending regression with cross-sectional dependence

Peter M. Robinson

Journal of Econometrics, 2012, vol. 169, issue 1, 4-14

Abstract: Panel data, whose series length T is large but whose cross-section size N need not be, are assumed to have common time trend, of unknown form. The model includes additive, unknown, individual-specific components and allows for spatial or other cross-sectional dependence and/or heteroscedasticity. A simple smoothed nonparametric trend estimate is shown to be dominated by an estimate which exploits availability of cross-sectional data. Asymptotically optimal bandwidth choices are justified for both estimates. Feasible optimal bandwidths, and feasible optimal trend estimates, are asymptotically justified, finite sample performance of the latter being examined in a Monte Carlo study. Potential extensions are discussed.

Keywords: Panel data; Nonparametric time trend; 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: 2012
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Citations: View citations in EconPapers (33)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:169:y:2012:i:1:p:4-14

DOI: 10.1016/j.jeconom.2012.01.005

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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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