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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: qi@econmail.tamu.edu
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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.

Information

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

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