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NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES

Published online by Cambridge University Press:  01 April 2009

Enno Mammen ,
Bård Støve  and
Dag Tjøstheim
Enno Mammen*
Affiliation:
University of Mannheim
Bård Støve
Affiliation:
Norwegian School of Economics and Business Administration
Dag Tjøstheim
Affiliation:
University of Bergen
*
*Address correspondence to Enno Mammen, Department of Economics, University of Mannheim, L7, 3-5, 68131 Mannheim, Germany; e-mail: [email protected].
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Abstract

This paper discusses nonparametric models for panels of time series. There is already a substantial literature on nonlinear models and nonparametric methods in a regression and time series setting. But almost without exception these developments have been limited to univariate and multivariate models of moderate dimensions. Very little has been done for panels, where the dimension, often corresponding to a number of individuals, typically is very large but where the number of observations for each individual may be small or moderate. It is the aim of this paper to start a systematic theoretical treatment of nonparametric models for panels of time series, in particular on additive models. Extending existing methodology to the panel situation is by no means trivial because already for the parametric case many problems are unsolved. Our estimation approach is based on backfitting methods.

Type
ARTICLES
Information
Econometric Theory , Volume 25 , Issue 2 , April 2009 , pp. 442 - 481
Copyright
Copyright © Cambridge University Press 2009

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