Nonparametric estimation of varying coefficient dynamic panel data models Conference Paper

abstract

• We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data. The model assumes linearity in some continuous/discrete variables that can be exogenous/endogenous and allows for nonlinearity in other weakly exogenous variables. We propose a nonparametric generalized method of moments (NPGMM) procedure to estimate the functional coefficients, and we establish the consistency and asymptotic normality of the resulting estimators.

authors

• Li, Qi

published proceedings

• ECONOMETRIC THEORY

author list (cited authors)

• Cai, Z., & Li, Q. i.

citation count

• 93

complete list of authors

• Cai, Zongwu||Li, Qi

publication date

• October 2008

publisher

• Cambridge University Press (CUP)  Publisher

published in

• ECONOMETRIC THEORY  Journal

keywords

• 38 Economics
• 3801 Applied Economics
• 3802 Econometrics
• 49 Mathematical Sciences
• 4905 Statistics

Digital Object Identifier (DOI)

• 10.1017/S0266466608080523

start page

• 1321

end page

• 1342

volume

• 24

issue

• 5

URL

• http://dx.doi.org/10.1017/s0266466608080523