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

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

Research output: Contribution to journalArticlepeer-review

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

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

Research output: Contribution to journalArticlepeer-review

Harvard

Lee, J & Robinson, PM 2015, 'Panel nonparametric regression with fixed effects', Journal of Econometrics, vol. 188, no. 2, pp. 346-362. https://doi.org/10.1016/j.jeconom.2015.03.004

APA

Lee, J., & Robinson, P. M. (2015). Panel nonparametric regression with fixed effects. Journal of Econometrics, 188(2), 346-362. https://doi.org/10.1016/j.jeconom.2015.03.004

Vancouver

Lee J, Robinson PM. Panel nonparametric regression with fixed effects. Journal of Econometrics. 2015 Oct;188(2):346-362. https://doi.org/10.1016/j.jeconom.2015.03.004

Author

Lee, Jungyoon ; Robinson, Peter M. / Panel nonparametric regression with fixed effects. In: Journal of Econometrics. 2015 ; Vol. 188, No. 2. pp. 346-362.

BibTeX

@article{daefb13e4fed40408f46699207b8485e,
title = "Panel nonparametric regression with fixed effects",
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.",
author = "Jungyoon Lee and Robinson, {Peter M}",
year = "2015",
month = oct,
doi = "10.1016/j.jeconom.2015.03.004",
language = "English",
volume = "188",
pages = "346--362",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "2",

}

RIS

TY - JOUR

T1 - Panel nonparametric regression with fixed effects

AU - Lee, Jungyoon

AU - Robinson, Peter M

PY - 2015/10

Y1 - 2015/10

N2 - 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.

AB - 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.

U2 - 10.1016/j.jeconom.2015.03.004

DO - 10.1016/j.jeconom.2015.03.004

M3 - Article

VL - 188

SP - 346

EP - 362

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 2

ER -