Estimating Semiparametric Panel Data Models by Marginal Integration

Junhui Qian and Le Wang

MPRA Paper from University Library of Munich, Germany

Abstract: We propose a new methodology for estimating semiparametric panel data models, with a primary focus on the nonparametric component. We eliminate individual effects using first differencing transformation and estimate the unknown function by marginal integration. We extend our methodology to treat panel data models with both individual and time effects. And we characterize the asymptotic behavior of our estimators. Monte Carlo simulations show that our estimator behaves well in finite samples in both random effects and fixed effects settings.

Keywords: Semiparametric Panel Data Model; Partially Linear; First Differencing; Marginal Integration (search for similar items in EconPapers)
JEL-codes: C13 C14 C23 (search for similar items in EconPapers)
Date: 2009-11-10
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Estimating semiparametric panel data models by marginal integration (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:18850

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