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Nonparametric estimation of marginal effects in regression-spline random effects models

Shujie Ma, Jeffrey Racine () and Aman Ullah

Econometric Reviews, 2020, vol. 39, issue 8, 792-825

Abstract: We consider a B-spline regression approach toward nonparametric modeling of a random effects (error component) model. We focus our attention on the estimation of marginal effects (derivatives) and their asymptotic properties. Theoretical underpinnings are provided, finite-sample performance is evaluated via Monte–Carlo simulation, and an application that examines the contribution of different types of public infrastructure on private production is investigated using panel data comprising the 48 contiguous states in the United States over the period 1970–1986.

Date: 2020
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Working Paper: Nonparametric Estimation of Marginal Effects in Regression-spline Random Effects Models (2019) Downloads
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DOI: 10.1080/07474938.2020.1772569

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