Analysis of panel data partially linear single-index models with serially correlated errors (Q2292009)

From the authors' abstract: ``In this paper, we study a panel data partially linear single-index models (PDPLSIM) with serially correlated errors. A semiparametric minimum average variance estimation method was given to estimate both the unknown parameters and link function. The asymptotic properties of the resulting estimators are established. Then, the serially correlated error structure is investigated.'' The authors develop the analysis in the classical framework of econometrics, and also the final real-data example comes from econometrics. The study is accompanied by a simulation study in order to study the behavior of the estimators in the case of small sample sizes.