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	Nonparametric estimation and testing of fixed effects panel data models
	Henderson, Daniel J. ; Carroll, Raymond J. ; Li, Qi
	2010-05-11 ; 2010-05-11
关键词	fixed effects models model specification tests nonparametric kernel method panel data partially linear model profile method random effects models semiparametric efficiency bound MIXED-EFFECTS MODELS SEMIPARAMETRIC REGRESSION LONGITUDINAL DATA CLUSTERED DATA Economics Mathematics, Interdisciplinary Applications Social Sciences, Mathematical Methods
中文摘要	In this paper we consider the problem of estimating nonparametric panel data models with fixed effects. We introduce an iterative nonparametric kernel estimator. We also extend the estimation method to the case of a semiparametric partially linear fixed effects model. To determine whether a parametric, semiparametric or nonparametric model is appropriate, we propose test statistics to test between the three alternatives in practice. We further propose a test statistic for testing the null hypothesis of random effects against fixed effects in a nonparametric panel data regression model. Simulations are used to examine the finite sample performance of the proposed estimators and the test statistics. Published by Elsevier B.V.
语种	英语 ; 英语
出版者	ELSEVIER SCIENCE SA ; LAUSANNE ; PO BOX 564, 1001 LAUSANNE, SWITZERLAND
内容类型	期刊论文
源URL	[http://hdl.handle.net/123456789/26256]
专题	清华大学
推荐引用方式 GB/T 7714	Henderson, Daniel J.,Carroll, Raymond J.,Li, Qi. Nonparametric estimation and testing of fixed effects panel data models[J],2010, 2010.
APA	Henderson, Daniel J.,Carroll, Raymond J.,&Li, Qi.(2010).Nonparametric estimation and testing of fixed effects panel data models..
MLA	Henderson, Daniel J.,et al."Nonparametric estimation and testing of fixed effects panel data models".(2010).

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