Nonparametric estimation of varying coefficient dynamic panel data models

被引：99

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

页码：1321 / 1342

页数：22

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