Estimation for varying coefficient panel data model with cross-sectional dependence
Consider a varying coefficient panel data model of the form \[ Y_{it}=\lambda_{i}+ \mathbf{X}_{it}^{\tau} \mathbf{m}\left(z_{t} \right)+U_{it}, \quad i=1,\ldots,N,\quad t=1,\ldots,T, \] where \(\tau\) denotes the transpose of a vector, \(Y_{it}\) denotes a one-dimensional dependent variable, \(\lambda_{i}\) is an individual fixed effect of individual \(i\), where \(\sum_{i=1}^{N} \lambda_{i}=0\), \(\mathbf{X}_{it}=\left(X_{it}^{\left(1 \right) },\ldots,X_{it}^{\left(p \right)} \right)^{\tau} \) is a \(p\times1\) vector, \(\mathbf{m}(\cdot) \) is a \(p\)-dimensional unknown varying coefficient function vector, \(z_{t}\) is one-dimensional covariate, \(\left\lbrace z_{t},U_{it} \right\rbrace \) are jointly stationary, and \(\left\lbrace U_{it}\right\rbrace \) are conditionally correlated and heteroscedastic. In this paper, the authors propose a consistent and efficient estimator for varying coefficient function vector \(\mathbf{m}(\cdot)\). From the authors' abstract: We first eliminate fixed effects by taking the cross-sectional average, and then use a local linear approach to obtain the initial estimator of the unknown coefficient functions. However, the initial estimator ignores the cross-sectional dependence and heteroscedasticity, which will lead to a loss of efficiency. Thus, we propose a weighted local linear method to obtain a more efficient estimator. In the theoretical part of the paper, we derive the asymptotic theory of the resulting estimator. Simulation results and a real data analysis are provided to illustrate the finite sample performance of the proposed method.
- Estimation of partially linear panel data models with cross-sectional dependence
- Nonparametric estimation in large panels with cross-sectional dependence
- Estimation and inference of a semiparametric varying-coefficient additive model for panel data
- NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS
- Estimation in a semiparametric panel data model with nonstationarity
- A consistent nonparametric test of parametric regression functional form in fixed effects panel data models
- A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks
- An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Functional-Coefficient Regression Models for Nonlinear Time Series
- Generalized likelihood ratio statistics and Wilks phenomenon
- GMM estimation of linear panel data models with time-varying individual effects
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 472973 (Why is no real title available?)
- Inferential Theory for Factor Models of Large Dimensions
- Non-parametric time-varying coefficient panel data models with fixed effects
- Nonparametric estimation and testing of fixed effects panel data models
- Nonparametric estimation in large panels with cross-sectional dependence
- NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS
- NONPARAMETRIC ESTIMATORS FOR TIME SERIES
- Nonparametric fixed effects model for panel data with locally stationary regressors
- Nonparametric trending regression with cross-sectional dependence
- Panel data models with interactive fixed effects
- Panel nonparametric regression with fixed effects
- Codependent VAR models and the pseudo-structural form
- Inference on modelling cross-sectional dependence for a varying-coefficient model
- Estimation of partially linear panel data models with cross-sectional dependence
- Heterogeneous panel data models with cross-sectional dependence
- Estimation of a rank-reduced functional-coefficient panel data model with serial correlation
- Difference-based estimation and model identification for panel data semiparametric models with cross-section dependence
- Estimation and inference of a semiparametric varying-coefficient additive model for panel data
- A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks
- scientific article; zbMATH DE number 5308532 (Why is no real title available?)
- Cross-Sectional Dependence in Panel Data Analysis
- Estimation of time-varying coefficient dynamic panel data models
- Variable selection in heterogeneous panel data models with cross‐sectional dependence
- Quantile varying-coefficient structural equation model
- Efficient B-spline imputation methods in functional structural equation model with missing data
- Composite quantile regression estimation for varying coefficient panel data models with fixed effects based on auxiliary regression
- Panel data models with cross-sectional dependence: a selective review
- Non-convex group penalized variable selection for high-dimensional varying coefficient panel data models with fixed effects using auxiliary regression
- Model detection and estimation for varying coefficient panel data models with fixed effects
This page was built for publication: Estimation for varying coefficient panel data model with cross-sectional dependence
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2175225)
