Sieve estimation of panel data models with cross section dependence

DOI10.1016/J.JECONOM.2012.01.006zbMath1443.62508OpenAlexW2046337428MaRDI QIDQ527969

Sainan Jin, Liangjun Su

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1337

zbMATH Keywords

panel datacommon factorsieve estimationcross-section dependenceheterogeneous regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Related Items (28)

Kernel estimation of hazard functions when observations have dependent and common covariates ⋮ A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence ⋮ Nonparametric Estimation in Large Panels with Cross-Sectional Dependence ⋮ NONPARAMETRIC ESTIMATION OF DYNAMIC PANEL MODELS WITH FIXED EFFECTS ⋮ An incidental parameters free inference approach for panels with common shocks ⋮ Integrative Analysis for High-Dimensional Stratified Models ⋮ Shrinkage estimation of dynamic panel data models with interactive fixed effects ⋮ Functional coefficient cointegration models with Box-Cox transformation ⋮ Unnamed Item ⋮ Series estimation for single‐index models under constraints ⋮ Recursive estimation in large panel data models: theory and practice ⋮ Semiparametric trending panel data models with cross-sectional dependence ⋮ An alternative semiparametric model for spatial panel data ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ Identifying latent grouped patterns in panel data models with interactive fixed effects ⋮ Additive nonparametric models with time variable and both stationary and nonstationary regressors ⋮ Panel threshold regressions with latent group structures ⋮ TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS ⋮ Semi-parametric single-index panel data models with interactive fixed effects: theory and practice ⋮ Estimation in a semiparametric panel data model with nonstationarity ⋮ Time varying factor models with possibly strongly correlated noises ⋮ QML estimation of dynamic panel data models with spatial errors ⋮ Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation ⋮ Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing ⋮ Specification test for panel data models with interactive fixed effects ⋮ Sparse spatio-temporal autoregressions by profiling and bagging ⋮ Semiparametric single-index panel data models with cross-sectional dependence ⋮ Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• Nonparametric estimation and testing of fixed effects panel data models
• Estimating the number of common factors in serially dependent approximate factor models
• A nonparametric test for poolability using panel data
• Convergence rates and asymptotic normality for series estimators
• Optimal global rates of convergence for nonparametric regression
• Generalized likelihood ratio statistics and Wilks phenomenon
• Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
• Nonlinear Regression with Dependent Observations
• Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
• Panel Data Models With Interactive Fixed Effects
• Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
• Inferential Theory for Factor Models of Large Dimensions
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Determining the Number of Factors in Approximate Factor Models
• Measurement Error Models with Auxiliary Data

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