Abstract
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.
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This research was supported by the National Natural Science Foundation of China under Grant No. 11101452, the Natural Science Foundation Project of CQ CSTC under Grant No. 2012jjA00035, the National Basic Research Program of China under Grant No. 2011CB808000, the National Social Science Foundation of China under Grant No. 12XTJ001, and the Natural Science Foundation Project of CTBU of China under Grant No. 1352001.
This paper was recommended for publication by Editor ZOU Guohua.
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Hu, X. Estimation in a semi-varying coefficient model for panel data with fixed effects. J Syst Sci Complex 27, 594–604 (2014). https://doi.org/10.1007/s11424-014-2263-1
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DOI: https://doi.org/10.1007/s11424-014-2263-1