Estimation in a semi-varying coefficient model for panel data with fixed effects
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This paper considers a semi-varying coefficient model for panel data with fixed effects, proposes the profile-likelihood-based estimators for the parametric and nonparametric components, and establishes convergence rates and asymptotic normality properties for both estimators. Simulation results show that the proposed estimators behave well in finite sample cases.
KeywordsFixed effect profile likelihood semi-varying coefficient model for panel data
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- Baltagi B H and Li D, Series estimation of partially linear panel data models with fixed effects, Annals of Economic and Finance, 2002, 3: 103–116.Google Scholar