Estimating partially linear panel data models with one-way error components

Qi Li and Aman Ullha

Econometric Reviews, 1998, vol. 17, issue 2, 145-166

Abstract: We consider the problem of estimating a partially linear panel data model whenthe error follows an one-way error components structure. We propose a feasiblesemiparametric generalized least squares (GLS) type estimator for estimating the coefficient of the linear component and show that it is asymptotically more efficient than a semiparametric ordinary least squares (OLS) type estimator. We also discussed the case when the regressor of the parametric component is correlated with the error, and propose an instrumental variable GLS-type semiparametric estimator.

Keywords: Partially linear model; individual effects; semiparametric estimation; generalized least squares method; instrumental variable (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (15)

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DOI: 10.1080/07474939808800409

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