Panel nonparametric regression with fixed effects

Jungyoon Lee and Peter M. Robinson

Journal of Econometrics, 2015, vol. 188, issue 2, 346-362

Abstract: Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specific components and allows also for cross-sectional and temporal dependence and conditional heteroscedasticity. A simple nonparametric estimate is shown to be dominated by a GLS-type one. Asymptotically optimal bandwidth choices are justified for both estimates. Feasible optimal bandwidths, and feasible optimal regression estimates, are also asymptotically justified. Finite sample performance is examined in a Monte Carlo study.

Keywords: Panel data; Nonparametric regression; Cross-sectional dependence; Generalized least squares; Optimal bandwidth (search for similar items in EconPapers)
JEL-codes: C13 C14 C23 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:188:y:2015:i:2:p:346-362

DOI: 10.1016/j.jeconom.2015.03.004

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

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