.png){kind=icon}
.png){kind=icon}
Return
Panel nonparametric regression with fixed effects
.png){kind=icon}
OA
AI
DOI：10.1016/j.jeconom.2015.03.004.png)
.png){kind=icon}
.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
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.
Keywords:
Panel data
Nonparametric regression
Cross-sectional dependence
Generalized least squares
Optimal bandwidth
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
4
Papers:
5.2K
Citations:
3.0W