Nonparametric estimation of varying coefficient dynamic panel data models

被引：95
|
作者：
Cai, Zongwu [2 ,3 ]
Li, Qi [1 ,4 ]
机构：
[1] Texas A&M Univ, Dept Econ, College Stn, TX 77843 USA
[2] Univ N Carolina, Charlotte, NC 28223 USA
[3] Xiamen Univ, Xiamen, Peoples R China
[4] Tsinghua Univ, Beijing 100084, Peoples R China
来源：
ECONOMETRIC THEORY | 2008年 / 24卷 / 05期
关键词：
D O I：
10.1017/S0266466608080523
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：1321 / 1342
页数：22
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