Nonparametric estimation of varying coefficient dynamic panel models

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Issue Date
2008-10-01Author
Cai, Zongwu
Li, Qi
Publisher
Cambridge University Press
Type
Article
Article Version
Scholarly/refereed, publisher version
Metadata
Show full item recordAbstract
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.
Description
This is the publisher's version, also available electronically from http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=2059888&fileId=S0266466608080523.
ISSN
0266-4666Collections
Citation
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
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