Panel nonparametric regression with fixed effects

Jung-Yoon Lee

doi:10.1016/j.jeconom.2015.03.004

2015-10-01

Jung-Yoon Lee

Peter M. Robinson *

DOI：10.1016/j.jeconom.2015.03.004

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摘要

En 中文

Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specific components and allows also for cross-sectional and temporal dependence and conditional heteroscedasticity. A simple nonparametric estimate is shown to be dominated by a GLS-type one. Asymptotically optimal bandwidth choices are justified for both estimates. Feasible optimal bandwidths, and feasible optimal regression estimates, are also asymptotically justified. Finite sample performance is examined in a Monte Carlo study. (C) 2015 The Authors. Published by Elsevier B.V.

Keyword:

Panel data

Nonparametric regression

Cross-sectional dependence

Generalized least squares

Optimal bandwidth

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Journal of Econometrics

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London School Economics and Political Science

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university of london

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