Simultaneous confidence band for nonparametric fixed effects panel data models

Gaorong Li, Heng Peng and Tiejun Tong

Economics Letters, 2013, vol. 119, issue 3, 229-232

Abstract: This paper constructs the simultaneous confidence band for the nonparametric function in nonparametric fixed effects panel data models. We first transform the nonparametric fixed effects panel data models into the partially linear models. We then obtain the estimator of the nonparametric function and remove the fixed effects using the profile least-squares method. Finally we apply the established asymptotic results to construct the simultaneous confidence band for the nonparametric function.

Keywords: Fixed effects; Nonparametric regression; Panel data; Profile least-squares; Simultaneous confidence band (search for similar items in EconPapers)
JEL-codes: C14 C23 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:119:y:2013:i:3:p:229-232

DOI: 10.1016/j.econlet.2013.02.037

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