Semiparametric single-index panel data models with cross-sectional dependence

In this paper, we consider a semiparametric single-index panel data model with cross-sectional dependence and stationarity. Meanwhile, we allow fixed effects to be correlated with the regressors to capture unobservable heterogeneity. Under a general spatial error dependence structure, we then establ...

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Bibliographic Details
Published in:Journal of econometrics 2015-09, Vol.188 (1), p.301-312
Main Authors: Dong, Chaohua, Gao, Jiti, Peng, Bin
Format: Article
Language:English
Subjects:
Asymptotic theory
Closed-form estimation
Cross-sectional analysis
Data collection
Dependence
Econometrics
Economic theory
Estimating techniques
Nonlinear panel data model
Orthogonal series expansion method
Panel data
Parameter estimation
Studies
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Summary:In this paper, we consider a semiparametric single-index panel data model with cross-sectional dependence and stationarity. Meanwhile, we allow fixed effects to be correlated with the regressors to capture unobservable heterogeneity. Under a general spatial error dependence structure, we then establish some consistent closed-form estimates for both the unknown parameters and the link function for the case where both cross-sectional dimension (N) and temporal dimension (T) go to infinity. Rates of convergence and asymptotic normality are established for the proposed estimates. Our experience suggests that the proposed estimation method is simple and thus attractive for finite-sample studies and empirical implementations. Moreover, both the finite-sample performance and the empirical applications show that the proposed estimation method works well when the cross-sectional dependence exists in the data set.
ISSN:0304-4076
1872-6895
DOI:10.1016/j.jeconom.2015.06.001