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Weighted Profile Least Squares Estimation for a Panel Data Varying-Coefficient Partially Linear Model |
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| Authors: | Bin ZHOU Jinhong YOU Qinfeng XU and Gemai CHEN |
| Institution: | 1. School of Finance and Statistics,East China Normal University,Shanghai 200241,China 2. Department of Statistics,Shanghai University of Finance and Economics,Shanghai 200433,China 3. School of Management,Fudan University,Shanghai 200433,China 4. Department of Mathematics and Statistics,University of Calgary,Calgary,Alberta,T2N 1N4,Canada |
| Abstract: | This paper is concerned with inference of panel data varying-coefficient par tially linear models with a one-way error structure.The model is a natural extension of the well-known panel data linear model(due to Baltagi 1995) to the setting of semiparametric regressions.The authors propose a weighted profile least squares estimator(WPLSE) and a weighted local polynomial estimator(WLPE) for the parametric and nonparametric components,respectively.It is shown that the WPLSE is asymptotically more efficient tha... |
| Keywords: | Semiparametric Panel data Local polynomial Weighted estimation Block bootstrap |
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