Local generalized method of moments estimation based on kernel weights: An application to panel data

Rosa Bernardini Papalia

Journal of Applied Statistics, 1999, vol. 26, issue 8, 1005-1015

Abstract: This paper presents and applies a local generalized method of moments (LGMM) estimator for regression functions. The method is an extension of previous results obtained by Gozalo and Linton. The LGMM estimation procedure can be applied to estimate a mean regression function and its derivatives at an interior point x , without making explicit assumptions about its functional form. The method has been applied to estimate dynamic models based on panel data.

Date: 1999
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DOI: 10.1080/02664769921990

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