Panel nonparametric regression with fixed effects

Jungyoon Lee and Peter M. Robinson

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specifi…c components and allows also for cross-sectional and temporal dependence and conditional heteroscedasticity. A simple nonparametric estimate is shown to be dominated by a GLS-type one. Asymptotically optimal bandwidth choices are justified for both estimates. Feasible optimal bandwidths, and feasi- ble optimal regression estimates, are asymptotically justifi…ed, with fi…nite sample performance examined in a Monte Carlo study.

Keywords: panel data; nonparametric regression; cross-sectional dependence; generalized least squares; optimal bandwidth (search for similar items in EconPapers)
JEL-codes: J1 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2013-03
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:58175

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