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This paper considers kernel-based nonparametric estimation of panel models using local linear least squares, when both … 1/(NT(h^3)). The optimal bandwidth parameter is also obtained to be of the order (NT)^{-1/7}. The new estimation is …
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In this paper, we consider a class of time-varying panel data models with individual-specific regression coefficients and common factors where both the serial correlation and cross-sectional dependence among error terms can be present. Based on an initial estimator of factors, we propose a...
Persistent link: https://www.econbiz.de/10012898777
This chapter surveys nonparametric methods for estimation and inference in a panel data setting. Methods surveyed …
Persistent link: https://www.econbiz.de/10012930869
This paper considers nonparametric estimation of autoregressive panel models with fixed effects. A within-group type …
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We consider nonparametric estimation and testing of linearity in a panel of intercorrelated time series. We place the …
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