Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions

Jia Chen; Jiti  Gao; Degui Li

doi:10.1080/07474938.2012.690687

Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions

Research output: Contribution to journal › Article › peer-review

Abstract

In this article, we study semiparametric estimation for a single-index panel data model where the nonlinear link function varies among the individuals. We propose using the refined minimum average variance estimation method to estimate the parameter in the single-index. As the cross-section dimension N and the time series dimension T tend to infinity simultaneously, we establish asymptotic distributions for the proposed estimator. In addition, we provide a real-data example to illustrate the finite sample behavior of the proposed estimation method.

Original language	English
Pages (from-to)	928-955
Journal	Econometric Reviews
Volume	32
Issue number	8
Early online date	13 Mar 2013
DOIs	https://doi.org/10.1080/07474938.2012.690687
Publication status	Published - Apr 2013

Keywords

Asymptotic distribution
Local linear smoother
Minimum average variance estimation
Panel data
semiparametric estimation
SINGLE-INDEX MODELS

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10.1080/07474938.2012.690687

http://www.tandfonline.com/doi/abs/10.1080/07474938.2012.690687

Cite this

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