Cai, ZongwuLi, Qi2015-01-232015-01-232008-10-01Cai, Zongwu; Li, Qi. (2008). "Nonparametric estimation of varying coefficient dynamic panel models." Econometric Theory 24(5):1321. http://dx.doi.org/10.1017/S02664666080805230266-4666https://hdl.handle.net/1808/16364This is the publisher's version, also available electronically from http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=2059888&fileId=S0266466608080523.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.Article10.1017/S0266466608080523openAccess