Semiparametric Trending Panel Data Models with Cross-Sectional Dependence

Jia Chen, Jiti Gao and Degui Li

No 2010-10, School of Economics and Public Policy Working Papers from University of Adelaide, School of Economics and Public Policy

Abstract: A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis and it allows for the cross-sectional dependence in both the regressors and the residuals. A semiparametric profile likelihood approach based on the first-stage local linear fitting is developed to estimate both the parameter vector and the time trend function.

Keywords: cross-sectional dependence; nonlinear time trend; panel data; profile likelihood; semiparametric regression (search for similar items in EconPapers)
JEL-codes: C13 C14 C23 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2010-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: Semiparametric trending panel data models with cross-sectional dependence (2012)
Working Paper: Semiparametric Trending Panel Data Models with Cross-Sectional Dependence (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:adl:wpaper:2010-10

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