Sieve Estimation of Panel Data Models with Cross Section Dependence

• المؤلفون الرئيسيون: SU, Liangjun, JIN, Sainan
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2012
• الموضوعات: Common factor; Cross-section dependence; Heterogeneous regression; Panel data; Sieve estimation; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1337; https://ink.library.smu.edu.sg/context/soe_research/article/2336/viewcontent/SieveEstimation_CrossSection_2012.pdf
• المؤسسة: Singapore Management University

In this paper we consider the problem of estimating semiparametric panel data models with cross section dependence, where the individual-specific regressors enter the model nonparametrically whereas the common factors enter the model linearly. We consider both heterogeneous and homogeneous regressio...