Publication Type

Book Chapter

Version

submittedVersion

Publication Date

1-2016

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 θ 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 ∞ 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 non-linear positive effect on the economic growth rate.

Keywords

Fredholm integral equation, generated covariate, GMM, local polynomial regression, partially linear model, Sieve method

Discipline

Econometrics

Research Areas

Econometrics

Publication

Essays in honor of Aman Ullah

Volume

36

First Page

137

Last Page

204

ISBN

9781785607875

Identifier

10.1108/S0731-905320160000036014

Publisher

Emerald

City or Country

Bingley

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.1108/S0731-905320160000036014

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Econometrics Commons

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