Nonparametric estimation and testing of fixed effects panel data models. Academic Article

abstract

• In this paper we consider the problem of estimating nonparametric panel data models with fixed effects. We introduce an iterative nonparametric kernel estimator. We also extend the estimation method to the case of a semiparametric partially linear fixed effects model. To determine whether a parametric, semiparametric or nonparametric model is appropriate, we propose test statistics to test between the three alternatives in practice. We further propose a test statistic for testing the null hypothesis of random effects against fixed effects in a nonparametric panel data regression model. Simulations are used to examine the finite sample performance of the proposed estimators and the test statistics.

authors

• Carroll, Raymond
• Li, Qi

published proceedings

• J Econom

author list (cited authors)

• Henderson, D. J., Carroll, R. J., & Li, Q. i.

citation count

• 148

complete list of authors

• Henderson, Daniel J||Carroll, Raymond J||Li, Qi

publication date

• May 2008

publisher

• Elsevier  Publisher

published in

• Journal of Econometrics  Journal

keywords

• Fixed Effects Models
• Model Specification Tests
• Nonparametric Kernel Method
• Panel Data
• Partially Linear Model
• Profile Method
• Random Effects Models
• Semiparametric Efficiency Bound

PubMed Central ID

• 19444335

Digital Object Identifier (DOI)

• 10.1016/j.jeconom.2008.01.005

start page

• 257

end page

• 275

volume

• 144

issue

• 1

URL

• http://dx.doi.org/10.1016/j.jeconom.2008.01.005