Local GMM estimation of semiparametric panel data with smooth coefficient models

DOI10.1080/07474930903327856MaRDI QIDQ3404110zbMATH OpenOpenAlexFDO

Authors Kien C. Tran, Efthymios G. Tsionas

Publication date 5 February 2010

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930903327856

zbMATH Keywords

local generalized method of momentsMonte Carlo simulationsemiparametric panel data modelsmooth coefficient

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cites work

• Efficient estimation of a semiparametric partially linear varying coefficient model
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• Estimating partially linear panel data models with one-way error components
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• Generalized likelihood ratio statistics and Wilks phenomenon
• Instrumental variables estimators of nonparametric models with discrete endogenous regressors
• Large Sample Properties of Generalized Method of Moments Estimators
• Local Estimating Equations
• Local generalized method of moments estimation based on kernel weights: An application to panel data
• Local nonlinear least squares: using parametric information in nonparametric regression
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS
• On instrumental variable estimation of semiparametric dynamic panel data models.
• Semiparametric Estimation of Index Coefficients
• Semiparametric estimation of partially linear panel data models
• Semiparametric Estimation of Regression Models for Panel Data
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Statistical estimation in varying coefficient models
• Testing serial correlation in semiparametric panel data models
• Threshold effects in non-dynamic panels: Estimation, testing, and inference

Cited in

(8)

• Competitive conditions and sectors' productive efficiency: a conditional non-parametric frontier analysis
• On the estimation of total factor productivity: a novel Bayesian non-parametric approach
• Semiparametric estimation of spatial autoregressive smooth-coefficient panel stochastic frontier models
• Foreign direct investment and growth symbiosis: a semiparametric system of simultaneous equations analysis
• Gradient estimation of the local-constant semiparametric smooth coefficient model
• Local information theoretic methods for smooth coefficients dynamic panel data models
• Local generalized method of moments estimation based on kernel weights: An application to panel data
• Sieve instrumental variable quantile regression estimation of functional coefficient models

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