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Nonparametric estimation of varying coefficient dynamic panel models
Cai, Zongwu Li, Qi
Cai, Zongwu
Li, Qi
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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 continuous/discrete variables that 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.
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This is the publisher's version, also available electronically from http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=2059888&fileId=S0266466608080523.
Date
2008-10-01
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Cambridge University Press
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Cai, Zongwu; Li, Qi. (2008). "Nonparametric estimation of varying coefficient dynamic panel models." Econometric Theory 24(5):1321. http://dx.doi.org/10.1017/S0266466608080523