Nonparametric fixed effects model for panel data with locally stationary regressors

DOI10.1016/j.jeconom.2017.06.023zbMath1394.62125OpenAlexW2773095198MaRDI QIDQ1652960

Youquan Pei, Tao Huang, Jin-hong You

Publication date: 17 July 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.06.023

zbMATH Keywords

hypothesis testingpanel data modelslocal linear estimationfixed effectlocally stationary

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (5)

Statistical inference for multivariate longitudinal data with irregular auto-correlated error process ⋮ Testing for covariance matrices in time-varying coefficient panel data models with fixed effects ⋮ Estimation for varying coefficient panel data model with cross-sectional dependence ⋮ Statistical inference of locally stationary functional coefficient models ⋮ Time-varying additive model with autoregressive errors for locally stationary time series

Uses Software

• phtt

Cites Work

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