/ Nonparametric and Semiparametric Panel Econometric Models: Estimation and Testing

Abstract

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