Semiparametric estimation of fixed effects panel data single-index model

Peng Lai, Gaorong Li and Heng Lian

Statistics & Probability Letters, 2013, vol. 83, issue 6, 1595-1602

Abstract: We consider the fixed effects panel data single-index model. For estimation of the link function and the index parameter, the local linear smoothing and the least squares method are used. We also propose a test for the presence of the fixed effects. Finite sample performances are illustrated using simulations.

Keywords: Fixed effects; Local linear smoothing; Panel data; Single-index model; Test statistic (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2013.03.005

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