NONPARAMETRIC ESTIMATION OF DYNAMIC PANEL MODELS WITH FIXED EFFECTS

NONPARAMETRIC ESTIMATION OF DYNAMIC PANEL MODELS WITH FIXED EFFECTS

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 red...

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Veröffentlicht in:Econometric theory 2014-12, Vol.30 (6), p.1315-1347
1. Verfasser: Lee, Yoonseok
Format: Artikel
Sprache:eng
Schlagworte:
Approximation
Autoregressive models
Bias
Convergence
Data models
Dynamic modeling
Econometric models
Econometrics
Economic models
Ergodic theory
Estimating techniques
Estimation
Estimation bias
Estimators
Markov analysis
Markov chains
Nonparametric models
Panel data
Probability
Random variables
Regression analysis
Studies
Time series
Vector-autoregressive models
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Beschreibung
Zusammenfassung: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.
ISSN:0266-4666
1469-4360
DOI:10.1017/S0266466614000188