ASYMPTOTIC THEORY IN FIXED EFFECTS PANEL DATA SEEMINGLY UNRELATED PARTIALLY LINEAR REGRESSION MODELS

Jinhong You and Xian Zhou

Econometric Theory, 2014, vol. 30, issue 2, 407-435

Abstract: This paper deals with statistical inference for the fixed effects panel data seemingly unrelated partially linear regression model. The model naturally extends the traditional fixed effects panel data regression model to allow for semiparametric effects. Multiple regression equations are permitted, and the model includes the aggregated partially linear model as a special case. A weighted profile least squares estimator for the parametric components is proposed and shown to be asymptotically more efficient than those neglecting the contemporaneous correlation. Furthermore, a weighted two-stage estimator for the nonparametric components is also devised and shown to be asymptotically more efficient than those based on individual regression equations. The asymptotic normality is established for estimators of both parametric and nonparametric components. The finite-sample performance of the proposed methods is evaluated by simulation studies.

Date: 2014
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