Journal
JOURNAL OF ECONOMETRICS
Volume 188, Issue 2, Pages 346-362Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2015.03.004
Keywords
Panel data; Nonparametric regression; Cross-sectional dependence; Generalized least squares; Optimal bandwidth
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Funding
- ESRC [ES/J007242/1] Funding Source: UKRI
- Economic and Social Research Council [ES/J007242/1] Funding Source: researchfish
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Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specific components and allows also for cross-sectional and temporal dependence and conditional heteroscedasticity. A simple nonparametric estimate is shown to be dominated by a GLS-type one. Asymptotically optimal bandwidth choices are justified for both estimates. Feasible optimal bandwidths, and feasible optimal regression estimates, are also asymptotically justified. Finite sample performance is examined in a Monte Carlo study. (C) 2015 The Authors. Published by Elsevier B.V.
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