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 language | English |
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Pages (from-to) | 301-312 |
Number of pages | 12 |
Journal | Journal of Econometrics |
Volume | 188 |
Issue number | 1 |
Early online date | 18 Jun 2015 |
DOIs | |
Publication status | Published - 1 Sep 2015 |