Difference-based estimation and model identification for panel data semiparametric models with cross-section dependence

doi:10.1080/03610926.2013.857417

CORC > 上海财经大学 > 上海财经大学

	Difference-based estimation and model identification for panel data semiparametric models with cross-section dependence
	Zhao, Haibing 1,2; Li, Rui 1,3
刊名	COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
	2016
卷号	45 期号:4 页码:1099-1117
关键词	Difference based method Time trend function Variable selection 62G20 62J02
ISSN号	0361-0926
DOI	10.1080/03610926.2013.857417
英文摘要	In this article, we consider a panel data partially linear regression model with fixed effect and non parametric time trend function. The data can be dependent cross individuals through linear regressor and error components. Unlike the methods using non parametric smoothing technique, a difference-based method is proposed to estimate linear regression coefficients of the model to avoid bandwidth selection. Here the difference technique is employed to eliminate the non parametric function effect, not the fixed effects, on linear regressor coefficient estimation totally. Therefore, a more efficient estimator for parametric part is anticipated, which is shown to be true by the simulation results. For the non parametric component, the polynomial spline technique is implemented. The asymptotic properties of estimators for parametric and non parametric parts are presented. We also show how to select informative ones from a number of covariates in the linear part by using smoothly clipped absolute deviation-penalized estimators on a difference-based least-squares objective function, and the resulting estimators perform asymptotically as well as the oracle procedure in terms of selecting the correct model.
WOS研究方向	Mathematics
语种	英语
出版者	TAYLOR & FRANCIS INC
WOS记录号	WOS:000370612900019
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1394]
专题	上海财经大学
通讯作者	Zhao, Haibing
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 2.Minist Educ, Key Lab Math Econ SUFE, Shanghai, Peoples R China; 3.Shanghai Univ Int Business & Econ, Sch Business Informat, Shanghai 201620, Peoples R China
推荐引用方式 GB/T 7714	Zhao, Haibing,Li, Rui. Difference-based estimation and model identification for panel data semiparametric models with cross-section dependence[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,2016,45(4):1099-1117.
APA	Zhao, Haibing,&Li, Rui.(2016).Difference-based estimation and model identification for panel data semiparametric models with cross-section dependence.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,45(4),1099-1117.
MLA	Zhao, Haibing,et al."Difference-based estimation and model identification for panel data semiparametric models with cross-section dependence".COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 45.4(2016):1099-1117.