Semiparametric single-index panel data models with cross-sectional dependence

Chaohua Dong, Jiti Gao, Bin Peng

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

In this paper, we consider a semiparametric single-index panel data model with cross-sectional depen- dence and stationarity. Meanwhile, we allow fixed effects to be correlated with the regressors to capture unobservable heterogeneity. Under a general spatial error dependence structure, we then establish some consistent closed-form estimates for both the unknown parameters and the link function for the case where both cross-sectional dimension (N) and temporal dimension (T) go to infinity. Rates of conver- gence and asymptotic normality are established for the proposed estimates. Our experience suggests that the proposed estimation method is simple and thus attractive for finite-sample studies and empirical im- plementations. Moreover, both the finite-sample performance and the empirical applications show that the proposed estimation method works well when the cross-sectional dependence exists in the data set.
Original languageEnglish
Pages (from-to)301-312
Number of pages12
JournalJournal of Econometrics
Volume188
Issue number1
Early online date18 Jun 2015
DOIs
Publication statusPublished - 1 Sep 2015

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Panel Data
Data Model
Data structures
Link Function
Fixed Effects
Dependence Structure
Stationarity
Asymptotic Normality
Unknown Parameters
Estimate
Rate of Convergence
Closed-form
Infinity
Finite sample
Cross-sectional dependence
Experience
Asymptotic normality
Rate of convergence
Fixed effects
Dependence structure

Cite this

Semiparametric single-index panel data models with cross-sectional dependence. / Dong, Chaohua; Gao, Jiti; Peng, Bin.

In: Journal of Econometrics, Vol. 188, No. 1, 01.09.2015, p. 301-312.

Research output: Contribution to journalArticle

Dong, Chaohua ; Gao, Jiti ; Peng, Bin. / Semiparametric single-index panel data models with cross-sectional dependence. In: Journal of Econometrics. 2015 ; Vol. 188, No. 1. pp. 301-312.
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