Semiparametric trending panel data models with cross-sectional dependence

DOI10.1016/j.jeconom.2012.07.001zbMath1443.62247OpenAlexW3122347686MaRDI QIDQ528077

Degui Li, Jia Chen, J. T. Gao

Publication date: 12 May 2017

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

Full work available at URL: http://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp15-11.pdf

zbMATH Keywords

semiparametric regressionpanel dataprofile likelihoodlocal linear fittingcross-sectional dependencenonlinear time trend

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (30)

Estimation of partially linear panel data models with cross-sectional dependence ⋮ Test for the covariance matrix in time-varying coefficients panel data models with fixed effects ⋮ Testing for common trends in semi‐parametric panel data models with fixed effects ⋮ Nonparametric testing for smooth structural changes in panel data models ⋮ Nonparametric fixed effects model for panel data with locally stationary regressors ⋮ A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks ⋮ Sparsity identification for high-dimensional partially linear model with measurement error ⋮ Variable selection in heterogeneous panel data models with cross‐sectional dependence ⋮ Testing for Trend Specifications in Panel Data Models ⋮ Series estimation for single‐index models under constraints ⋮ Heterogeneous panel data models with cross-sectional dependence ⋮ Recursive estimation in large panel data models: theory and practice ⋮ Effective identification and estimation for the semiparametric measurement error model ⋮ Panel data partially linear model with fixed effects, spatial autoregressive error components and unspecified intertemporal correlation ⋮ Partially linear single index models for repeated measurements ⋮ Semiparametric model for covariance regression analysis ⋮ Empirical likelihood based inference for a categorical varying-coefficient panel data model with fixed effects ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ Testing a linear dynamic panel data model against nonlinear alternatives ⋮ A semiparametric model for heterogeneous panel data with fixed effects ⋮ Difference-based estimation and model identification for panel data semiparametric models with cross-section dependence ⋮ On time-varying factor models: estimation and testing ⋮ Determining individual or time effects in panel data models ⋮ Semi-parametric single-index panel data models with interactive fixed effects: theory and practice ⋮ TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION ⋮ Estimation in a semiparametric panel data model with nonstationarity ⋮ Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation ⋮ Sparse spatio-temporal autoregressions by profiling and bagging ⋮ Semiparametric single-index panel data models with cross-sectional dependence ⋮ Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence

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