Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions

Jia Chen, Jiti Gao and Degui Li

No 12/11, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: In this paper, we study semiparametric estimation for a single-index panel data model where the nonlinear link function varies among the individuals. We propose using the refined minimum average variance estimation method to estimate the parameter in the single-index. As the cross-section dimension N and the time series dimension T tend to infinity simultaneously, we establish asymptotic distributions for the proposed estimator. In addition, we provide a real-data example to illustrate the finite sample behaviour of the proposed estimation method.

Keywords: Asymptotic distribution; local linear smoother; minimum average variance estimation; panel data; semiparametric estimation; single-index models. (search for similar items in EconPapers)
JEL-codes: C13 C14 C23 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2011-09
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions (2013)
Working Paper: Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions (2010)
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