Nonparametric estimation and testing of fixed effects panel data models

Daniel Henderson (), Raymond J. Carroll and Qi Li

Journal of Econometrics, 2008, vol. 144, issue 1, 257-275

Abstract: In this paper we consider the problem of estimating nonparametric panel data models with fixed effects. We introduce an iterative nonparametric kernel estimator. We also extend the estimation method to the case of a semiparametric partially linear fixed effects model. To determine whether a parametric, semiparametric or nonparametric model is appropriate, we propose test statistics to test between the three alternatives in practice. We further propose a test statistic for testing the null hypothesis of random effects against fixed effects in a nonparametric panel data regression model. Simulations are used to examine the finite sample performance of the proposed estimators and the test statistics.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (133)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4076(08)00016-X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:144:y:2008:i:1:p:257-275

Access Statistics for this article

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

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().