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

DOI10.1016/j.jeconom.2015.06.001zbMath1337.62256OpenAlexW3122207966MaRDI QIDQ2354867

Chaohua Dong, Bin Peng, J. T. 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 theorynonlinear panel data modelclosed-form estimationorthogonal series expansion method

Mathematics Subject Classification ID

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

Related Items (20)

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Cites Work

• Semi-Nonparametric Maximum Likelihood Estimation
• Sieve estimation of panel data models with cross section dependence
• Semiparametric trending panel data models with cross-sectional dependence
• Semiparametric and nonparametric methods in econometrics
• Géza Freud, orthogonal polynomials and Christoffel functions. A case study
• Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
• Convergence rates and asymptotic normality for series estimators
• Model specification tests in nonparametric stochastic regression models
• Nonlinear time series. Nonparametric and parametric methods
• Semiparametric estimation in triangular system equations with nonstationarity
• Structural Nonparametric Cointegrating Regression
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Nonlinear Time Series
• Random Matrices: High Dimensional Phenomena
• Generalized Partially Linear Single-Index Models
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
• Panel Data Models With Interactive Fixed Effects
• Cross-Section Regression with Common Shocks
• Instrumental Variable Estimation of Nonparametric Models

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