Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
Zongwu Cai, Qi Li
Econometric Theory 24.2008.1321-1342
#002084 20131014 (published)
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.

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