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
Cross section dependence, fixed effects; hypothesis testing, nonadditive model, nonparametric GMM, nonseparable model, partially linear panel data model, random effects; varying coefficient model
Handbook of Empirical Economics and Finance
D.E.A. Giles & A. Ullah
Chapman & Hall/CRC
City or Country
Boca Raton, FL
SU, Liangjun and ULLAH, Aman.
Nonparametric and Semiparametric Panel Econometric Models: Estimation and Testing. (2011). Handbook of Empirical Economics and Finance. 455-497. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/1281
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