Panel nonparametric regression with fixed effects. / Lee, Jungyoon; Robinson, Peter M.

In: Journal of Econometrics, Vol. 188, No. 2, 10.2015, p. 346-362.

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Abstract

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
Volume188
Issue number2
Early online date11 Mar 2015
DOIs
Publication statusPublished - Oct 2015
This open access research output is licenced under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported License.

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