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A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis and it allows for the cross-sectional dependence in both the regressors and the residuals. A pooled semiparametric profile likelihood dummy variable approach based on the first...
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In this paper, we study semiparametric estimation for a single-index panel data model where the nonlinear link function varies among the individuals. We propose using the refined minimum average variance estimation method to estimate the parameter in the single-index. As the cross-section...
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In this paper, we consider some specification testing problems in nonlinear time series models with nonstationarity. We propose using a nonparametric kernel test for specifying whether the regression function is of a known parametric nonlinear form. The power function of the proposed...
Persistent link: https://www.econbiz.de/10013084965
Estimation theory in a nonstationary environment has been very popular in recent years. Existing studies focus on nonstationarity in parametric linear, parametric nonlinear and nonparametric nonlinear models. In this paper, we consider a partially linear model of nonstationary time series, in...
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