Hostname: page-component-745bb68f8f-f46jp Total loading time: 0 Render date: 2025-02-10T23:59:15.820Z Has data issue: false hasContentIssue false
  • English
  • Français

NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS

Published online by Cambridge University Press:  23 June 2008

Zongwu Cai  and
Qi Li
Zongwu Cai
Affiliation:
University of North Carolina at Charlotte and Xiamen University
Qi Li*
Affiliation:
Texas A&M University and Tsinghua University
*
Address correspondence to Qi Li, Department of Economics, Texas A&M University, College Station, TX 77843-4228, USA; e-mail: [email protected]
Get access Rights & Permissions [Opens in a new window]

Abstract

We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data. The model assumes linearity in some continuous/discrete variables that can be exogenous/endogenous and allows for nonlinearity in other weakly exogenous variables. We propose a nonparametric generalized method of moments (NPGMM) procedure to estimate the functional coefficients, and we establish the consistency and asymptotic normality of the resulting estimators.

Type
Research Article
Information
Econometric Theory , Volume 24 , Issue 5 , October 2008 , pp. 1321 - 1342
Copyright
Copyright © Cambridge University Press 2008

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Ai, C. & Chen, X. (2003) Efficient estimation of models with conditional moment restrictions conditioning unknown functions. Econometrica 71, 1795–1843.CrossRefGoogle Scholar
Arellano, M. (2003) Panel Data Econometrics. Oxford University Press.CrossRefGoogle Scholar
Baltagi, B. (2005) Econometric Analysis of Panel Data, 2nd ed. Wiley.Google Scholar
Baltagi, B. & Li, Q. (2002) On instrumental variable estimation of semiparametric dynamic panel data models. Economics Letters 76, 1–9.CrossRefGoogle Scholar
Cai, Z. (2002) Regression quantiles for time series data. Econometric Theory 18, 169–192.CrossRefGoogle Scholar
Cai, Z. (2003) Nonparametric estimation equations for time series data. Statistics and Probability Letters 62, 379–390.CrossRefGoogle Scholar
Cai, Z., Das, M., Xiong, H., & Wu, X. (2006) Functional-coefficient instrumental variables models. Journal of Econometrics 133, 207–241.CrossRefGoogle Scholar
Cai, Z., Fan, J., & Yao, Q. (2000) Functional-coefficient regression models for nonlinear time series. Journal of the American Statistical Association 95, 941–956.CrossRefGoogle Scholar
Cai, Z. & Li, Q. (2005) Nonparametric Estimation of Varying Coefficient Dynamic Panel Data Models. Working paper, Department of Economics, Texas A&M University.Google Scholar
Cai, Z. & Xiong, H. (2006) Efficient Estimation of Partially Varying-Coefficient Instrumental Variables Models. Working paper, Department of Mathematics and Statistics, University of North Carolina at Charlotte.Google Scholar
Carrasco, M. & Chen, X. (2002) Mixing and moment properties of various GARCH and stochastic volatility models. Econometric Theory 18, 17–39.CrossRefGoogle Scholar
Chen, R. & Tsay, R.S. (1993) Functional-coefficient autoregressive models. Journal of the American Statistical Association 88, 298–308.Google Scholar
Das, M. (2005) Instrumental variables estimators for nonparametric models with discrete endogenous regressors. Journal of Econometrics 124, 335–361.CrossRefGoogle Scholar
Fan, J. & Gijbels, I. (1996) Local Polynomial Modeling and Its Applications. Chapman and Hall.Google Scholar
González, A., Teräsvirta, T., & van Dijk, D. (2005) Panel Smooth Transition Regression Models. Working paper, Department of Economic Statistics, Stockholm School of Economics.Google Scholar
Granger, C.L.J. & Teräsvirta, T. (1993) Modelling Nonlinear Economic Relationships. Oxford University Press.CrossRefGoogle Scholar
Hall, P. & Heyde, C.C. (1980) Martingale Limit Theory and Its Applications. Academic Press.Google Scholar
Hamilton, J.D. (1994) Time Series Analysis. Princeton University Press.CrossRefGoogle Scholar
Hansen, B.E. (1999) Threshold effects in non-dynamic panels: Estimation, testing, and inference. Journal of Econometrics 93, 345–368.CrossRefGoogle Scholar
Hansen, P.L. (1982) Large sample properties of generalized method of moments estimators. Econometrica 50, 1029–1054.CrossRefGoogle Scholar
Hastie, T.J. & Tibshirani, R. (1993) Varying-coefficient models (with discussion). Journal of the Royal Statistical Society, Series B 55, 757–796.Google Scholar
Hong, Y. & Lee, T.-H. (2003) Inference and forecast of exchange rates via generalized spectrum and nonlinear time series models. Review of Economics and Statistics 85, 1048–1062.CrossRefGoogle Scholar
Horowitz, J.L. & Markatou, M. (1996) Semiparametric estimation of regression models for panel data. Review of Economic Studies 63, 145–168.CrossRefGoogle Scholar
Hsiao, C. (2003) Analysis of Panel Data, 2nd ed. Cambridge University Press.CrossRefGoogle Scholar
Ibragimov, I.A. & Linnik, Y.V. (1971) Independent and Stationary Sequences of Random Variables. Walters-Noordhoff.Google Scholar
Juhl, T. (2005) Functional-coefficient models under unit root behavior. Econometrics Journal 8, 197–213.CrossRefGoogle Scholar
Kniesner, T.J. & Li, Q. (2002) Nonlinearity in dynamic adjustment: Semiparametric estimation of panel labor supply. Empirical Economics 27, 131–148.CrossRefGoogle Scholar
Li, Q. & Hsiao, C. (1998) Testing serial correlation in semiparametric panel data models. Journal of Econometrics 87, 207–237.CrossRefGoogle Scholar
Li, Q., Huang, C., Li, D., & Fu, F. (2002) Semiparametric smooth coefficient model. Journal of Business & Economic Statistics 20, 412–422.CrossRefGoogle Scholar
Li, Q. & Stengos, T. (1996) Semiparametric estimation of partially linear panel data model. Journal of Econometrics 71, 389–397.CrossRefGoogle Scholar
Newey, W.K. (1990) Efficient instrumental variables estimation of nonlinear models. Econometrica 58, 809–837.CrossRefGoogle Scholar
Pesaran, M.H. & Smith, R. (1995) Estimating long-run relationships from dynamic heterogeneous panels. Journal of Econometrics 68, 79–113.CrossRefGoogle Scholar
Robertson, D. & Symons, J. (1992) Some strange properties of panel data estimators. Journal of Applied Econometrics 7, 175–189.CrossRefGoogle Scholar
Shao, Q. & Yu, H. (1996) Weak convergence of weighted empirical processes of dependent sequences. Annals of Probability 24, 2098–2127.CrossRefGoogle Scholar
Volkonskii, V.A. & Rozanov, Y.A. (1959) Some limit theorems for random functions, part I. Theory of Probability and Its Applications 4, 178–197.CrossRefGoogle Scholar