Nonparametric and Semiparametric Panel Econometric Models: Estimation and Testing

摘要: This paper gives a selective review on the recent developments of nonparametric and semiparametric panel data models. We focus conventional models with one-way error component structure, partially linear models, varying coe¢ cient multi-factor nonseparable For each area, we discuss basic ideas estimation, comment asymptotic properties di¤erent estimators speci…cation tests. Much theoretical empirical research is needed in this emerging area. KEY WORDS: Cross section dependence; …xed e¤ects; hypothesis testing; nonadditive model; GMM; random The …rst author gratefully acknowledges …nancial support from NSFC under grant numbers 70501001 70601001. second academic senate, UCR.