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 language | English (US) |
|---|---|
| Pages (from-to) | 1315-1347 |
| Number of pages | 33 |
| Journal | Econometric Theory |
| Volume | 30 |
| Issue number | 6 |
| DOIs | |
| State | Published - Apr 29 2014 |
ASJC Scopus subject areas
- Social Sciences (miscellaneous)
- Economics and Econometrics