XTNPTIMEVAR: Stata module to estimate non-parametric time-varying coefficients panel data models with fixed effects

Ibrahima Diallo

Statistical Software Components from Boston College Department of Economics

Abstract: xtnptimevar performs estimations of non-parametric time-varying coefficients panel data models with fixed effects. Often researchers desire to estimate the effects of some regressors on the dependent variable in a nonlinear fashion in the context of panel data without imposing a specific functional form. In other words they want the data to reveal this functional form by letting them speak for themselves. The command xtnptimevar exactly does that. It offers two estimators: the local linear dummy variable estimator (the default) and the averaged local linear estimator. Both of these two techniques allow estimating coefficients that vary over time for panel data models. These two estimators were invented by Li, Chen and Gao (2011). The theory behind the command xtnptimevar is provided in their paper.

Language: Stata
Requires: Stata version 12
Keywords: non-parametric estimation; time-varying coefficients; panel data; fixed effects (search for similar items in EconPapers)
Date: 2014-09-04
Note: This module should be installed from within Stata by typing "ssc install xtnptimevar". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (1)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtnptimevar.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtnptimevaravecb.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtnptimevarsansb.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtnptimevar.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtnptimevardata.dta sample data file (application/x-stata)

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