Estimation of Partially Linear Panel Data Models with Cross-Sectional Dependence

doi:10.1007/s11424-021-0122-4

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	Estimation of Partially Linear Panel Data Models with Cross-Sectional Dependence
	Huang, Bai 1; Sun, Yuying 2; Wang, Shouyang 2
	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.