کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096364 | 1376523 | 2012 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Semiparametric trending panel data models with cross-sectional dependence
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
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-stage local linear fitting is developed to estimate both the parameter vector and the nonlinear time trend function. As both the time series length T and the cross-sectional size N tend to infinity, the resulting estimator of the parameter vector is asymptotically normal with a root-(NT) convergence rate. Meanwhile, the asymptotic distribution for the nonparametric estimator of the trend function is also established with a root-(NTh) convergence rate. Two simulated examples are provided to illustrate the finite sample performance of the proposed method. In addition, the proposed model and estimation method are applied to a CPI data set as well as an input-output data set.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 171, Issue 1, November 2012, Pages 71-85
Journal: Journal of Econometrics - Volume 171, Issue 1, November 2012, Pages 71-85
نویسندگان
Jia Chen, Jiti Gao, Degui Li,