Abstract
This paper considers nonparametric estimation of autoregressive panel models with fixed effects. A within-group type series estimator is developed and its convergence rate and the asymptotic normality are derived. It is found that the series estimator is asymptotically biased and the bias reduces the mean-square convergence rate compared with the cross section cases. A bias corrected nonparametric estimator is developed. As an extension, partially linear dynamic panel models are also studied.
Full Text
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call