Panel nonparametric regression with fixed effects

Jungyoon Lee and Peter 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-specific 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 feasible optimal regression estimates, are also asymptotically justified. Finite sample performance is 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: C13 C14 C23 (search for similar items in EconPapers)
Date: 2015-03
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Citations: View citations in EconPapers (12)

Published in Journal of Econometrics, March, 2015, 188(2), pp. 346-362. ISSN: 0304-4076

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