AcademicsWorking Papers

Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
Zongwu Cai, Qi Li
#001966 20131014 (published)
We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data. The model assumes linearity in some continu ous/discrete variables which can be exogenous/endogenous, and allows for nonlinearity in other weakly exogenous variables. We propose a nonparametric generalized method of moments (NPGMM) procedure to estimate the functional coefficients, and we establish the consistency and asymptotic normality of the resulting estimators.
JEL-Codes: C13; C14; C33
Keywords: Local linear fitting; generalized method of moments; instrumental variables; panel data; varying coefficient model.

Download full text