KMS Of Academy of mathematics and systems sciences, CAS
Estimation of Partially Linear Panel Data Models with Cross-Sectional Dependence | |
Huang, Bai1; Sun, Yuying2; Wang, Shouyang2 | |
2021-02-04 | |
发表期刊 | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY |
ISSN | 1009-6124 |
页码 | 12 |
摘要 | This paper studies the estimation of the partially linear panel data models, allowing for cross-sectional dependence through a common factors structure. This semiparametric additive partial linear framework, including both linear and nonlinear additive components, is more flexible compared to linear models, and is preferred to a fully nonparametric regression because of the 'curse of dimensionality'. The consistency and asymptotic normality of the proposed estimators are established for the case where both cross-sectional dimension and temporal dimension go to infinity. The theoretical findings are further supported for small samples via a Monte Carlo study. The results suggest that the proposed method is robust to a wide variety of data generation processes. |
关键词 | Common correlated effects common factors cross-sectional dependence panel data semi-parametric estimation |
DOI | 10.1007/s11424-021-0122-4 |
收录类别 | SCI |
语种 | 英语 |
资助项目 | National Natural Science Foundation of China[71703156] ; National Natural Science Foundation of China[71988101] ; National Natural Science Foundation of China[72073126] |
WOS研究方向 | Mathematics |
WOS类目 | Mathematics, Interdisciplinary Applications |
WOS记录号 | WOS:000614789100005 |
出版者 | SPRINGER HEIDELBERG |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/58104 |
专题 | 中国科学院数学与系统科学研究院 |
通讯作者 | Sun, Yuying |
作者单位 | 1.Cent Univ Finance & Econ, Sch Math & Stat, Beijing 100081, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China |
推荐引用方式 GB/T 7714 | Huang, Bai,Sun, Yuying,Wang, Shouyang. Estimation of Partially Linear Panel Data Models with Cross-Sectional Dependence[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2021:12. |
APA | Huang, Bai,Sun, Yuying,&Wang, Shouyang.(2021).Estimation of Partially Linear Panel Data Models with Cross-Sectional Dependence.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,12. |
MLA | Huang, Bai,et al."Estimation of Partially Linear Panel Data Models with Cross-Sectional Dependence".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY (2021):12. |
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