Su, Liangjun; Jin, Sainan - In: Journal of Econometrics 169 (2012) 1, pp. 34-47
In this paper we consider the problem of estimating semiparametric panel data models with cross section dependence, where the individual-specific regressors enter the model nonparametrically whereas the common factors enter the model linearly. We consider both heterogeneous and homogeneous...