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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.

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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