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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