NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS

B-Tier
Journal: Econometric Theory
Year: 2008
Volume: 24
Issue: 5
Pages: 1321-1342

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

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

Abstract

We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data. The model assumes linearity in some continuous/discrete variables that can be exogenous/endogenous and allows for nonlinearity in other weakly exogenous variables. We propose a nonparametric generalized method of moments (NPGMM) procedure to estimate the functional coefficients, and we establish the consistency and asymptotic normality of the resulting estimators.

Technical Details

RePEc Handle
repec:cup:etheor:v:24:y:2008:i:05:p:1321-1342_08
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25