Nonparametric Estimation in Large Panels with Cross-Sectional Dependence

被引:24
作者
Huang, Xiao [1 ]
机构
[1] Kennesaw State Univ, Dept Econ Finance & Quantitat Anal, Kennesaw, GA 30144 USA
关键词
Cross sectional dependence; Large panels; Local linear regression; Mixing process; C14; C23;
D O I
10.1080/07474938.2013.740998
中图分类号
F [经济];
学科分类号
020101 [政治经济学];
摘要
In this paper we consider nonparametric estimation in panel data under cross-sectional dependence. Both the number of cross-sectional units (N) and the time dimension of the panel (T) are assumed to be large, and the cross-sectional dependence has a multifactor structure. Local linear regression is used to filter the unobserved cross-sectional factors and to estimate the nonparametric conditional mean. A Monte Carlo simulation study shows that the proposed estimator yields good finite sample properties.
引用
收藏
页码:754 / 777
页数:24
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