Nonparametric estimation of dynamic panel models with fixed effects

Research output: Contribution to journalArticle

11 Scopus citations

Abstract

This paper considers nonparametric estimation of autoregressive panel data models with fixed effects. A within-group type series estimator is developed and its convergence rate and asymptotic normality are derived. It is found that the series estimator is asymptotically biased and the bias could reduce the mean-square convergence rate compared with the cross-section cases. A bias corrected nonparametric estimator is developed.

Original languageEnglish (US)
Pages (from-to)1315-1347
Number of pages33
JournalEconometric Theory
Volume30
Issue number6
DOIs
StatePublished - Apr 29 2014

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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