Functional coefficient panel modeling with communal smoothing covariates

DOI10.1016/J.JECONOM.2021.03.004MaRDI QIDQ2116344OpenAlexFDO

Authors 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

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)

Recommendations

• Smoothed LSDV estimation of functional-coefficient panel data models with two-way fixed effects
• Efficient estimation of functional-coefficient regression models with different smoothing variables
• Integrated Estimation of Functional-Coefficient Regression Models with Different Smoothing Variables
• scientific article; zbMATH DE number 2202786
• Estimation of a rank-reduced functional-coefficient panel data model with serial correlation
• Functional models for longitudinal data with covariate dependent smoothness
• Averaged estimation of functional-coefficient regression models with different smoothing varia\-bles
• Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing
• Functional-coefficient cointegration models
• Semiparametric functional coefficient models with integrated covariates

Cites work

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

Cited in

(1)

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

This page was built for publication: Functional coefficient panel modeling with communal smoothing covariates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2116344)