Economics at your fingertips  

Nonparametric Panel Data Models, A Penalized Spline Approach

Gholamreza Hajargasht ()

No WP052009, CEPA Working Papers Series from University of Queensland, School of Economics

Abstract: In this paper, we study estimation of fixed and random effects nonparametric panel data models using penalized splines and its mixed model variant. We define a "within" and a "dummy variable" estimator and show their equivalence which can be used as an argument for consistency of the dummy variable estimator when the effects are correlated with regressors. We prove nonparametric counterparts to a variety of the relations between parametric fixed and random effects estimators. Another feature of the approach followed in this paper is the potential to estimate models with heteroscedasticity and autocorrelation in the error term without difficulty. We provide a simulation experiment to illustrate the performance of the estimators.

JEL-codes: C30 D24 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in CEPA Working Papers Series from University of Queensland, School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by SOE IT ().

Page updated 2019-12-05
Handle: RePEc:qld:uqcepa:72