update wp_papers set View_Count = View_Count + 1 WHERE p_id=2084
- Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
- Zongwu Cai, Qi Li
- Econometric Theory 24.2008.1321-1342
- #002084 20131014 (published) Views:2
- 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.
Download full text Downloads:2