Panel nonparametric regression with fixed effects

Jungyoon Lee, Peter M Robinson

Research output: Contribution to journalArticlepeer-review


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.
Original languageEnglish
Pages (from-to)346-362
Number of pages17
JournalJournal of Econometrics
Issue number2
Early online date11 Mar 2015
Publication statusPublished - Oct 2015

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