Statistical Inference for Single-index Panel Data Models

Liping Zhu, Jinhong You and Qunfang Xu

Scandinavian Journal of Statistics, 2014, vol. 41, issue 3, 830-843

Abstract: type="main" xml:id="sjos12067-abs-0001"> We study estimation and hypothesis testing in single-index panel data models with individual effects. Through regressing the individual effects on the covariates linearly, we convert the estimation problem in single-index panel data models to that in partially linear single-index models. The conversion is valid regardless of the individual effects being random or fixed. We propose an estimating equation approach, which has a desirable double robustness property. We show that our method is applicable in single-index panel data models with heterogeneous link functions. We further design a chi-squared test to evaluate whether the individual effects are random or fixed. We conduct simulations to demonstrate the finite sample performance of the method and conduct a data analysis to illustrate its usefulness.

Date: 2014
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