Semi-parametric inference for semi-varying coefficient panel data model with individual effects

doi:10.1016/j.jmva.2016.11.007

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	Semi-parametric inference for semi-varying coefficient panel data model with individual effects
	Hu, Xuemei 1,2
	2017-02-01
发表期刊	JOURNAL OF MULTIVARIATE ANALYSIS
ISSN	0047-259X
卷号	154 页码:262-281
摘要	We study a semi-varying coefficient panel data model with unobserved individual effects, where all the covariates are high-dimensional variables. Based on multivariate local linear fitting, the transformation technique and the profile likelihood method, we establish semi parametric fixed effects estimators, semi-parametric random effects estimators, and their asymptotic properties. We also introduce a test for discriminating between a semi-varying coefficient random effects panel data model and a semi-varying coefficient fixed effects panel data model. The critical values are estimated by a bootstrap procedure. Monte Carlo studies exhibit the finite-sample performance of the proposed estimators and test statistics. Simulation results show that the methods perform well for moderate sample sizes. Finally, we analyze the cigarette consumption panel data from 46 American states covering the period 1963-1992. (C) 2016 Elsevier Inc. All rights reserved.
关键词	Panel data Fixed effects Random effects Local linear smoothing Semi-varying coefficient model Bootstrap procedure
DOI	10.1016/j.jmva.2016.11.007
语种	英语
资助项目	National Natural Science Foundation of China[11101452] ; Ministry of Education Humanity Social Science Research Project of China[15YJC910002] ; Natural Science Foundation of CQ CSTC[cstc.2015jcyjA00017] ; SCR of the Chongqing Municipal Education Commission[KJ1400613] ; National Basic Research Program of China (973 Program)[2011CB808000] ; Program for University Innovation Team of Chongqing[CXTDX201601026]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000391907200016
出版者	ELSEVIER INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/24541
专题	中国科学院数学与系统科学研究院
通讯作者	Hu, Xuemei
作者单位	1.Chongqing Technol & Business Univ, Sch Math & Stat, Chongqing 400067, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Hu, Xuemei. Semi-parametric inference for semi-varying coefficient panel data model with individual effects[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2017,154:262-281.
APA	Hu, Xuemei.(2017).Semi-parametric inference for semi-varying coefficient panel data model with individual effects.JOURNAL OF MULTIVARIATE ANALYSIS,154,262-281.
MLA	Hu, Xuemei."Semi-parametric inference for semi-varying coefficient panel data model with individual effects".JOURNAL OF MULTIVARIATE ANALYSIS 154(2017):262-281.