NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS

By Zongwu Cai, Qi Li. Econometric Theory, 2008

135 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/e6f255f1b13c21aa95a4624fa1790f0e742ea703

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In Economics and Econometrics

1. Yiguo Sun
2. Jiti Gao
3. Liangjun Su
4. Degui Li
5. Jia Chen
6. Emir Malikov
7. Dag Tjøstheim
8. Aman Ullah

Citations in the corpus

• Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects (2013, methodology): “Without taking the difference explicitly, we propose using a semiparametric minimum average variance estimation (SMAVE) based on a dummy variable method to remove the fixed effects and obtain consistent estimators for both the parameters and the unknown link function.”
• Semiparametric GMM estimation of spatial autoregressive models (2012, methodology): “Motivated by the idea of local linear fitting, we can follow Cai and Li (2008) and choose zh,ij simply as”
• Local Linear GMM Estimation of Functional Coefficient IV Models With an Application to Estimating the Rate of Return to Schooling (2013, background): “Recently Das (2005), Cai, Das, Xiong, and Wu (2006, CDXW hereafter), Lewbel (2007), Cai and Li (2008), Tran and Tsionas (2010), and Su (2012), among others, have considered the semiparametric models with endogenous variables and they suggest a nonparametric/semiparametric generalized method of momen”
• A varying-coefficient panel data model with fixed effects: Theory and an application to US commercial banks (2017, background): “For example, Cai and Li (2008) propose a varying-coefficient dynamic panel data model, where they get around this difficulty by dropping fixed effects.”
• Semiparametric Estimation and Testing of Smooth Coefficient Spatial Autoregressive Models (2017, methodology): “We estimate the above model using the (locally) nonparametric GMM estimator along the lines of Cai & Li (2008) subject to the non-singularity condition (2.3).”
• NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES (2009, methodology): “Recent contributions to nonlinear and non/semiparametric modeling of panels are given in Hjellvik, Chen, and Tjøstheim (2004), Fan and Li (2004), Wooldridge (2005b), Cai and Li (2008), and Henderson, Carroll, and Li (2008). An interesting application with a nonparametric additive panel model is give”
• Functional-coefficient spatial autoregressive models with nonparametric spatial weights (2016, methodology): “Cai and Li (2008) had used a similar method to estimate unknown curves with endogenous regressors in a di¤erent context.”