NONPARAMETRIC ESTIMATION OF DYNAMIC PANEL MODELS WITH FIXED EFFECTS

B-Tier
Journal: Econometric Theory
Year: 2014
Volume: 30
Issue: 6
Pages: 1315-1347

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper considers nonparametric estimation of autoregressive panel data models with fixed effects. A within-group type series estimator is developed and its convergence rate and asymptotic normality are derived. It is found that the series estimator is asymptotically biased and the bias could reduce the mean-square convergence rate compared with the cross-section cases. A bias corrected nonparametric estimator is developed.

Technical Details

RePEc Handle
repec:cup:etheor:v:30:y:2014:i:06:p:1315-1347_00
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25