Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models

Zongwu Cai () and Qi Li

No 2013-10-14, Working Papers from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

Abstract: We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data. The model assumes linearity in some continu ous/discrete variables which can be exogenous/endogenous, and allows for nonlinearity in other weakly exogenous variables. We propose a nonparametric generalized method of moments (NPGMM) procedure to estimate the functional coefficients, and we establish the consistency and asymptotic normality of the resulting estimators.

Keywords: Local linear fitting; generalized method of moments; instrumental variables; panel data; varying coefficient model. (search for similar items in EconPapers)
JEL-codes: C13 C14 C33 (search for similar items in EconPapers)
Date: 2013-10-14
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Related works:
Journal Article: NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:wyi:wpaper:001966

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