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Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
semiparametric dynamic NPGMM consistency asymptotic
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2011/4/2
We suggest using a class of semiparametric dynamic panel data models to capture
individual variations in panel data. The model assumes linearity in some
continuous/discrete variables that can be exo...
Weak Instrumental Variables Models for Longitudinal Data
Longitudinal Data Nearly Weak Instruments Panel Data Weak Instruments Within-group TSLS Estimator
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2011/4/1
This paper considers the estimation and testing of a within-group two-stage least squares (TSLS) estimator for instruments with varying degrees of weakness in a longitudinal (panel) Data model. We sho...
Weak Instrumental Variables Models for Longitudinal Data
Weak Instrumental Variables asymp-totic consistency limiting distribution
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2011/4/2
In this paper, we study a weak instrumental variables model for longitudinal data. A two stage least-squares estimator (the instrumental variables estimator) is presented. We show that the asymp-totic...
Functional-coefficient models for nonstationary time series data
Nonstationary Nonlinearity Semiparametric estimation
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2011/4/2
This paper studies functional coefficient regression models with nonstationary time series data, allowing also for stationary covariates. A local linear fitting scheme is developed to estimate the coe...
Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
Local linear fitting generalized method of moments instrumental variables panel data varying coefficient model
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2011/4/6
We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data. The model assumes linearity in some continu ous/discrete variables which can be exo...
A Consistent Model Specification Test with Mixed Discrete and Continuous Data
Consistent test Parametric functional form Nonparametric estimation
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2011/4/2
In this paper we propose a nonparametric kernel-based model specification test that can be used when the regression model contains both discrete and continuous regressors. We employ discrete variable ...