Nonparametric GMM and model identification in dynamic varying coefficient regression models

DOI10.16205/J.CNKI.CAMA.2016.0029MaRDI QIDQ2983666zbMATH OpenFDO

Authors Rui Li, Ruili Hao

Publication date 17 May 2017

Full work available at URL https://doi.org/10.16205/J.CNKI.CAMA.2016.0029

zbMATH Keywords

dynamic regressionoracle propertypenalized GMM estimatespline approximationvarying coefficient model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Generalized linear models (logistic models) (62J12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(2)

• Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects
• Efficient estimation and variable selection in dynamic panel data partially linear varying coefficient models with incidental parameter

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