Estimation in a semiparametric panel data model with nonstationarity

Chaohua Dong, Jiti Gao, Bin Peng

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Abstract

In this paper, we consider a partially linear panel data model with nonstationarity and certain cross-sectional dependence. Accounting for the explosive feature of the nonstationary time series, we particularly employ Hermite orthogonal functions in this study. Under a general spatial error dependence structure, we then establish some consistent closed-form estimates for both the unknown parameters and the unknown functions for the cases where N and T go jointly to infinity. Rates of convergence and asymptotic normalities are established for the proposed estimators. Both the finite sample performance and the empirical applications show that the proposed estimation methods work well.
Original languageEnglish
Pages (from-to)961-977
Number of pages17
JournalEconometric Reviews
Volume38
Issue number8
Early online date13 Nov 2018
DOIs
Publication statusPublished - 2019

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