Semiparametric estimation of fixed-effects panel data varying coefficient models

Yiguo Sun, Raymond J. Carroll and Dingding Li

A chapter in Nonparametric Econometric Methods, 2009, pp 101-129 from Emerald Group Publishing Limited

Abstract: We consider the problem of estimating a varying coefficient panel data model with fixed-effects (FE) using a local linear regression approach. Unlike first-differenced estimator, our proposed estimator removes FE using kernel-based weights. This results a one-step estimator without using the backfitting technique. The computed estimator is shown to be asymptotically normally distributed. A modified least-squared cross-validatory method is used to select the optimal bandwidth automatically. Moreover, we propose a test statistic for testing the null hypothesis of a random-effects varying coefficient panel data model against an FE one. Monte Carlo simulations show that our proposed estimator and test statistic have satisfactory finite sample performance.

Date: 2009
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(2009)0000025006

DOI: 10.1108/S0731-9053(2009)0000025006

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