Semi-parametric inference for semi-varying coefficient panel data model with individual effects

doi:10.1016/j.jmva.2016.11.007

	Semi-parametric inference for semi-varying coefficient panel data model with individual effects
	Hu, Xuemei 1,2
刊名	JOURNAL OF MULTIVARIATE ANALYSIS
	2017-02-01
卷号	154 页码:262-281
关键词	Panel data Fixed effects Random effects Local linear smoothing Semi-varying coefficient model Bootstrap procedure
ISSN号	0047-259X
DOI	10.1016/j.jmva.2016.11.007
英文摘要	We study a semi-varying coefficient panel data model with unobserved individual effects, where all the covariates are high-dimensional variables. Based on multivariate local linear fitting, the transformation technique and the profile likelihood method, we establish semi parametric fixed effects estimators, semi-parametric random effects estimators, and their asymptotic properties. We also introduce a test for discriminating between a semi-varying coefficient random effects panel data model and a semi-varying coefficient fixed effects panel data model. The critical values are estimated by a bootstrap procedure. Monte Carlo studies exhibit the finite-sample performance of the proposed estimators and test statistics. Simulation results show that the methods perform well for moderate sample sizes. Finally, we analyze the cigarette consumption panel data from 46 American states covering the period 1963-1992. (C) 2016 Elsevier Inc. All rights reserved.
语种	英语
出版者	ELSEVIER INC
WOS记录号	WOS:000391907200016
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/24540]
专题	中国科学院数学与系统科学研究院
通讯作者	Hu, Xuemei
作者单位	1.Chongqing Technol & Business Univ, Sch Math & Stat, Chongqing 400067, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Hu, Xuemei. Semi-parametric inference for semi-varying coefficient panel data model with individual effects[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2017,154:262-281.
APA	Hu, Xuemei.(2017).Semi-parametric inference for semi-varying coefficient panel data model with individual effects.JOURNAL OF MULTIVARIATE ANALYSIS,154,262-281.
MLA	Hu, Xuemei."Semi-parametric inference for semi-varying coefficient panel data model with individual effects".JOURNAL OF MULTIVARIATE ANALYSIS 154(2017):262-281.