کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7358159 1478571 2018 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Nonparametric fixed effects model for panel data with locally stationary regressors
ترجمه فارسی عنوان
مدل اثرات ثابت غیر پارامتر برای داده های پانل با رگرسیون های محلی ثابت
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
We develop methods for inference in nonparametric time-varying fixed effects panel data models that allow for locally stationary regressors and for the time series length T and cross-section size N both being large. We first develop a pooled nonparametric profile least squares dummy variable approach to estimate the nonparametric function, and establish the optimal convergence rate and asymptotic normality of the resultant estimator. We then propose a test statistic to check whether the bivariate nonparametric function is time-varying or the time effect is separable, and derive the asymptotic distribution of the proposed test statistic. We present several simulated examples and two real data analyses to illustrate the finite sample performance of the proposed methods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 202, Issue 2, February 2018, Pages 286-305
نویسندگان
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