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Estimation of a nonlinear panel data model with semiparametric individual effects

Wayne-Roy Gayle and Soiliou Daw Namoro

Journal of Econometrics, 2013, vol. 175, issue 1, 46-59

Abstract: This paper investigates identification and estimation of a class of nonlinear panel data, single-index models. The model allows for unknown time-specific link functions, and semiparametric specification of the individual-specific effects. We develop an estimator for the parameters of interest, and propose a powerful new kernel-based modified backfitting algorithm to compute the estimator. We derive uniform rates of convergence results for the estimators of the link functions, and show the estimators of the finite-dimensional parameters are root-N consistent with a Gaussian limiting distribution. We study the small sample properties of the estimator via Monte Carlo techniques.

Keywords: Semiparametric estimation; Modified backfitting; Panel data; Nonlinear models (search for similar items in EconPapers)
JEL-codes: C13 C14 C23 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:175:y:2013:i:1:p:46-59

DOI: 10.1016/j.jeconom.2013.03.004

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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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