کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146614 957521 2010 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Statistical inference for panel data semiparametric partially linear regression models with heteroscedastic errors
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Statistical inference for panel data semiparametric partially linear regression models with heteroscedastic errors
چکیده انگلیسی

We consider a panel data semiparametric partially linear regression model with an unknown parameter vector for the linear parametric component, an unknown nonparametric function for the nonlinear component, and a one-way error component structure which allows unequal error variances (referred to as heteroscedasticity). We develop procedures to detect heteroscedasticity and one-way error component structure, and propose a weighted semiparametric least squares estimator (WSLSE) of the parametric component in the presence of heteroscedasticity and/or one-way error component structure. This WSLSE is asymptotically more efficient than the usual semiparametric least squares estimator considered in the literature. The asymptotic properties of the WSLSE are derived. The nonparametric component of the model is estimated by the local polynomial method. Some simulations are conducted to demonstrate the finite sample performances of the proposed testing and estimation procedures. An example of application on a set of panel data of medical expenditures in Australia is also illustrated.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 101, Issue 5, May 2010, Pages 1079–1101
نویسندگان
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