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Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
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| Journal | Econometric Reviews |
|---|---|
| Date | E-pub ahead of print - 13 Mar 2013 |
| Date | Published (current) - Apr 2013 |
| Issue number | 8 |
| Volume | 32 |
| Pages (from-to) | 928-955 |
| Early online date | 13/03/13 |
| Original language | English |
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.
- Asymptotic distribution, Local linear smoother, Minimum average variance estimation, Panel data, semiparametric estimation, SINGLE-INDEX MODELS
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