Nonparametric and Semiparametric Panel Econometric Models: Estimation and Testing

Author

Liangjun SU, Singapore Management UniversityFollow
Aman ULLAH, University of California, Riverside

Publication Type

Book Chapter

Version

publishedVersion

Publication Date

2011

Abstract

This paper gives a selective review on the recent developments of nonparametric and semiparametric panel data models. We focus on the conventional panel data models with one-way error component structure, partially linear panel data models, varying coefficient panel data models, nonparametric panel data models with multi-factor error structure, and nonseparable nonparametric panel data models. For each area, we discuss the basic models and ideas of estimation, and comment on the asymptotic properties of different estimators and specification tests. Much theoretical and empirical research is needed in this emerging area

Keywords

Cross section dependence, fixed effects; hypothesis testing, nonadditive model, nonparametric GMM, nonseparable model, partially linear panel data model, random effects; varying coefficient model

Discipline

Econometrics

Research Areas

Econometrics

Publication

Handbook of Empirical Economics and Finance

Editor

D.E.A. Giles & A. Ullah

First Page

455

Last Page

497

ISBN

9781420070354

Publisher

Chapman & Hall/CRC

City or Country

Boca Raton, FL

Citation

SU, Liangjun and ULLAH, Aman. Nonparametric and Semiparametric Panel Econometric Models: Estimation and Testing. (2011). Handbook of Empirical Economics and Finance. 455-497.
Available at: https://ink.library.smu.edu.sg/soe_research/1281

Copyright Owner and License

Authors

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.

Comments

A. Ullah and D.E.A. Giles (eds), pp. 455-497

Additional URL

https://worldcat.org/isbn/9781420070354