Semiparametric single-index panel data models with cross-sectional dependence

DOI10.1016/J.JECONOM.2015.06.001MaRDI QIDQ2354867zbMATH OpenOpenAlexFDO

Authors Chaohua Dong, Bin Peng, Jiti Gao

Publication date 27 July 2015

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

Full work available at URL http://hdl.handle.net/10453/41165

zbMATH Keywords

asymptotic theoryclosed-form estimationnonlinear panel data modelorthogonal series expansion method

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Generalized linear models (logistic models) (62J12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Sieve estimation of panel data models with cross section dependence
• Estimation of partially linear panel data models with cross-sectional dependence
• Semiparametric estimation of fixed effects panel data single-index model
• Semiparametric trending panel data models with cross-sectional dependence
• Estimation in single-index panel data models with heterogeneous link functions

Cites work

• Convergence rates and asymptotic normality for series estimators
• Cross-Section Regression with Common Shocks
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Estimation in single-index panel data models with heterogeneous link functions
• Generalized Partially Linear Single-Index Models
• Géza Freud, orthogonal polynomials and Christoffel functions. A case study
• Instrumental Variable Estimation of Nonparametric Models
• Model specification tests in nonparametric stochastic regression models
• Nonlinear Time Series
• Nonlinear time series. Nonparametric and parametric methods
• Panel data models with interactive fixed effects
• Random Matrices: High Dimensional Phenomena
• Semi-Nonparametric Maximum Likelihood Estimation
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Semiparametric and nonparametric methods in econometrics
• Semiparametric estimation in triangular system equations with nonstationarity
• 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
• Structural nonparametric cointegrating regression

Cited in

(41)

• Nonparametric fixed effects model for panel data with locally stationary regressors
• Identification and estimation of nonseparable single-index models in panel data with correlated random effects
• Additive nonparametric models with time variable and both stationary and nonstationary regressors
• Semiparametric model for covariance regression analysis
• A weighted sieve estimator for nonparametric time series models with nonstationary variables
• Sparse spatio-temporal autoregressions by profiling and bagging
• Estimation of partially linear panel data models with cross-sectional dependence
• Sieve extremum estimation of a semiparametric transformation model
• Heterogeneous panel data models with cross-sectional dependence
• Recursive estimation in large panel data models: theory and practice
• Estimation for double-nonlinear cointegration
• Semi-parametric single-index panel data models with interactive fixed effects: theory and practice
• Limit theory for panel data models with cross sectional dependence and sequential exogeneity
• Estimation and inference in semiparametric quantile factor models
• High dimensional semiparametric moment restriction models
• Difference-based estimation and model identification for panel data semiparametric models with cross-section dependence
• Semi‐parametric Estimation in a Single‐index Model with Endogenous Variables
• A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks
• Semiparametric estimation of fixed effects panel data single-index model
• Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity
• Estimation in single-index varying-coefficient panel data model
• Estimation in single-index panel data models with heterogeneous link functions
• Series estimation for single-index models under constraints
• Sieve estimation of panel data models with cross section dependence
• Semiparametric trending panel data models with cross-sectional dependence
• Estimation in a semiparametric panel data model with nonstationarity
• Variable selection in heterogeneous panel data models with cross‐sectional dependence
• Functional coefficient cointegration models with Box-Cox transformation
• Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
• Varying-Coefficient Panel Data Models With Nonstationarity and Partially Observed Factor Structure
• GMM estimation for high-dimensional panel data models
• Jump detection in single-index models with measurement error
• Semiparametric estimation and variable selection for sparse single index models in increasing dimension
• Nonparametric time-varying panel data models with heterogeneity
• Semiparametric single-index estimation for average treatment effects
• Simultaneous semiparametric inference for single-index models
• Identification and inference for semiparametric single index transformation models
• Estimation under single-index hazards models
• Panel data models with cross-sectional dependence: a selective review
• Latent factor models with functional single-index loadings
• Series estimation under cross-sectional dependence

This page was built for publication: Semiparametric single-index panel data models with cross-sectional dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2354867)