Functional coefficient panel modeling with communal smoothing covariates

DOI10.1016/J.JECONOM.2021.03.004OpenAlexW3152629916MaRDI QIDQ2116344FDOQ2116344

Peter C. B. Phillips, Ying Wang

Publication date: 16 March 2022

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

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d21/d2193-a.pdf

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zbMATH Keywords

fixed effectspanel datafunctional coefficientscommunal covariateshousing rental pricestests of constancy

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Linear Regression Limit Theory for Nonstationary Panel Data
• Specification testing in nonlinear and nonstationary time series autoregression
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
• Asymptotic results for the empirical process of stationary sequences
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• Structural Nonparametric Cointegrating Regression
• A specification test for nonlinear nonstationary models
• Central limit theorem for linear processes
• Functional-coefficient models for nonstationary time series data
• NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS
• Strong approximation results for the empirical process of stationary sequences
• A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks
• Semiparametric estimation of fixed-effects panel data varying coefficient models
• Nonparametric estimation of fixed effects panel data varying coefficient models
• A law of the logarithm for kernel density estimators
• Nonparametric specification testing for nonlinear time series with nonstationarity
• A law of the iterated logarithm for nonparametric regression function estimators
• Non‐parametric time‐varying coefficient panel data models with fixed effects
• Nonparametric trending regression with cross-sectional dependence
• Recursive Nonparametric Estimation for Time Series
• On iterated logarithm laws for linear arrays and nonparametric regression estimators
• Specification testing in nonstationary time series models
• Panel nonparametric regression with fixed effects

Cited In (1)

• Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure

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