Qian, Junhui and Wang, Le (2009): Estimating Semiparametric Panel Data Models by Marginal Integration.

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Abstract
We propose a new methodology for estimating semiparametric panel data models, with a primary focus on the nonparametric component. We eliminate individual effects using first differencing transformation and estimate the unknown function by marginal integration. We extend our methodology to treat panel data models with both individual and time effects. And we characterize the asymptotic behavior of our estimators. Monte Carlo simulations show that our estimator behaves well in finite samples in both random effects and fixed effects settings.
Item Type:  MPRA Paper 

Original Title:  Estimating Semiparametric Panel Data Models by Marginal Integration 
Language:  English 
Keywords:  Semiparametric Panel Data Model, Partially Linear, First Differencing, Marginal Integration 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General C  Mathematical and Quantitative Methods > C2  Single Equation Models; Single Variables > C23  Models with Panel Data; Longitudinal Data; Spatial Time Series 
Item ID:  18850 
Depositing User:  Junhui Qian 
Date Deposited:  21. Jan 2010 16:27 
Last Modified:  13. Feb 2013 00:30 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/18850 