Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions

Jia Chen, Jiti Gao and Degui Li

Econometric Reviews, 2013, vol. 32, issue 8, 928-955

Abstract: In this article, we study semiparametric estimation for a single-index panel data model where the nonlinear link function varies among the individuals. We propose using the refined minimum average variance estimation method to estimate the parameter in the single-index. As the cross-section dimension N and the time series dimension T tend to infinity simultaneously, we establish asymptotic distributions for the proposed estimator. In addition, we provide a real-data example to illustrate the finite sample behavior of the proposed estimation method.

Date: 2013
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Citations: View citations in EconPapers (13)

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Related works:
Working Paper: Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions (2011)
Working Paper: Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions (2010)
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DOI: 10.1080/07474938.2012.690687

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