Differencing techniques in semi-parametric panel data varying coefficient models with fixed effects: a Monte Carlo study

DOI10.1007/S00180-014-0549-3zbMATH Open1342.65059OpenAlexW1967408655MaRDI QIDQ740076FDOQ740076

Alexandra Soberón, Juan Rodriguez-Poo

Publication date: 12 August 2016

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10902/9523

zbMATH Keywords

panel datalocal linear regressionMonte Carlo simulationswithin estimatorfirst-differences estimatorone-step backfitting algorithmsemi-parametric varying coefficients model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Individual preferences (91B08)

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• Nonparametric dynamic panel data models: kernel estimation and specification testing
• NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES
• Estimating semiparametric panel data models by marginal integration
• Nonparametric identification in nonseparable panel data models with generalized fixed effects

Cited In (3)

• Testing for covariance matrices in time-varying coefficient panel data models with fixed effects
• Editorial to the special issue on applicable semiparametrics of computational statistics
• Estimation in partially linear time-varying coefficients panel data models with fixed effects

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