Semiparametric estimation of fixed-effects panel data varying coefficient models Academic Article uri icon


  • We consider the problem of estimating a varying coefficient panel data model with fixed-effects (FE) using a local linear regression approach. Unlike first-differenced estimator, our proposed estimator removes FE using kernel-based weights. This results a one-step estimator without using the backfitting technique. The computed estimator is shown to be asymptotically normally distributed. A modified least-squared cross-validatory method is used to select the optimal bandwidth automatically. Moreover, we propose a test statistic for testing the null hypothesis of a random-effects varying coefficient panel data model against an FE one. Monte Carlo simulations show that our proposed estimator and test statistic have satisfactory finite sample performance.

published proceedings

  • Advances in Econometrics

author list (cited authors)

  • Sun, Y., Carroll, R. J., & Li, D.

citation count

  • 97

complete list of authors

  • Sun, Yiguo||Carroll, Raymond J||Li, Dingding

publication date

  • January 2009