Semi-parametric single-index panel data models with interactive fixed effects: theory and practice

DOI10.1016/J.JECONOM.2019.05.018MaRDI QIDQ2330739zbMATH OpenOpenAlexFDO

Authors Guohua Feng, Bin Peng, Liangjun Su, Thomas Yang

Publication date 23 October 2019

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

Full work available at URL https://ink.library.smu.edu.sg/soe_research/2056

zbMATH Keywords

interactive fixed effectsnonlinear panel data modelorthogonal series method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

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• Convergence rates and asymptotic normality for series estimators
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• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Estimation for single-index and partially linear single-index integrated models
• Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
• Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
• High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
• Imposing theoretical regularity on flexible functional forms
• Inferences in panel data with interactive effects using large covariance matrices
• Instrumental Variable Estimation of Nonparametric Models
• Model specification tests in nonparametric stochastic regression models
• Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
• Panel cointegration with global stochastic trends
• Panel data models with interactive fixed effects
• Panels with non-stationary multifactor error structures
• Projected principal component analysis in factor models
• Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
• Semiparametric trending panel data models with cross-sectional dependence
• Sieve estimation of panel data models with cross section dependence
• Some new asymptotic theory for least squares series: pointwise and uniform results
• Specification test for panel data models with interactive fixed effects
• Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity
• Testing homogeneity in panel data models with interactive fixed effects
• The Asymptotic Variance of Semiparametric Estimators

Cited in

(8)

• A semiparametric model for heterogeneous panel data with fixed effects
• Semiparametric estimation of fixed effects panel data single-index model
• Non-parametric panel data models with interactive fixed effects
• Binary response models for heterogeneous panel data with interactive fixed effects
• Nonparametric time-varying panel data models with heterogeneity
• Quantile Regression and Homogeneity Identification of a Semiparametric Panel Data Model
• Latent factor models with functional single-index loadings
• Modelling bilateral intra-industry trade indexes with panel data: a semiparametric approach

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