Rodriguez-Poo, Juan M.; SoberĂ³n, Alexandra - In: Journal of Multivariate Analysis 133 (2015) C, pp. 95-122
In this paper, we consider the nonparametric estimation of a varying coefficient fixed effect panel data model. The estimator is based in a within (un-smoothed) transformation of the regression model and then a local linear regression is applied to estimate the unknown varying coefficient...