Nonparametric Models with Random Effects

Yiguo Sun, Wei Lin () and Qi Li ()
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Wei Lin: Capital University of Economics and Business
Qi Li: Capital University of Economics and Business and Texas A&M University

Chapter Chapter 8 in The Econometrics of Multi-dimensional Panels, 2024, pp 239-284 from Springer

Abstract: Abstract This chapter considers the three-dimensional nonparametric models with random effects, and proposes pooled local linear and two-step estimators for them. We find that the pooled local linear estimator can be inconsistent when the sum of all the error term covariances in absolute values diverges to infinity too quickly. When the pooled local linear estimator is consistent, the optimal convergence rate of the estimator, its corresponding optimal bandwidth and asymptotic variance depend on the number of regressors and the limit of certain sample indices ratio; and we propose an asymptotically more efficient two-step estimator along the line of Su, Ullah and Wang (2013). Some extensions on nonparametric models with fixed effects, mixed effects, and higher dimensions are also discussed.

Date: 2024
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DOI: 10.1007/978-3-031-49849-7_8

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