Publication Type

Working Paper

Version

publishedVersion

Publication Date

9-2015

Abstract

In this paper, we study a partially linear dynamic panel data model with fixed effects, where either exogenous or endogenous variables or both enter the linear part, and the lagged dependent variable together with some other exogenous variables enter the nonparametric part. Two types of estimation methods are proposed for the first-differenced model. One is composed of a semiparametric GMM estimator for the finite dimensional parameter and a local polynomial estimator for the infinite dimensional parameter m based on the empirical solutions to Fredholm integral equations of the second kind, and the other is a sieve IV estimate of the parametric and nonparametric components jointly. We study the asymptotic properties for these two types of estimates when the number of individuals N tends to infinity and the time period T is fixed. We also propose a specification test for the linearity of the nonparametric component based on a weighted square distance between the parametric estimate under the linear restriction and the semiparametric estimate under the alternative. Monte Carlo simulations suggest that the proposed estimators and tests perform well in finite samples. We apply the model to study the relationship between intellectual property right (IPR) protection and economic growth, and find that IPR has a nonlinear positive effect on the economic growth rate.

Keywords

Additive structure, Fredholm integral equation, Generated covariate, GMM, Local polynomial regression, Partially linear model, Sieve method, Time effect

Discipline

Econometrics

Research Areas

Econometrics

First Page

1

Last Page

52

Publisher

SMU Economics and Statistics Working Paper Series, No. 06-2015

City or Country

Singapore

Copyright Owner and License

Authors

Comments

Published in Essays in Honor of Aman Ullah https://doi.org/10.1108/S0731-905320160000036014

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