Estimating semiparametric panel data models by marginal integration

Junhui Qian and Le Wang

Journal of Econometrics, 2012, vol. 167, issue 2, 483-493

Abstract: We propose an alternative method for estimating the nonlinear component in semiparametric panel data models. Our method is based on marginal integration that allows us to recover the nonlinear component from an additive regression structure that results from the first differencing transformation. We characterize the asymptotic behavior of our estimator. We also extend the methodology to treat panel data models with two-way effects. Monte Carlo simulations show that our estimator behaves well in finite samples in both random effects and fixed effects settings.

Keywords: Semiparametric panel data model; Partially linear; First differencing; Marginal integration (search for similar items in EconPapers)
JEL-codes: C13 C14 C24 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (23)

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Related works:
Working Paper: Estimating Semiparametric Panel Data Models by Marginal Integration (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:167:y:2012:i:2:p:483-493

DOI: 10.1016/j.jeconom.2011.09.030

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