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Estimation of Partially Linear Panel Data Models with Cross-Sectional Dependence

文献类型：期刊论文

作者Huang, Bai1; Sun, Yuying2; Wang, Shouyang2
刊名JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
出版日期2021-02-04
页码12
关键词Common correlated effects common factors cross-sectional dependence panel data semi-parametric estimation
ISSN号1009-6124
DOI10.1007/s11424-021-0122-4
英文摘要This paper studies the estimation of the partially linear panel data models, allowing for cross-sectional dependence through a common factors structure. This semiparametric additive partial linear framework, including both linear and nonlinear additive components, is more flexible compared to linear models, and is preferred to a fully nonparametric regression because of the 'curse of dimensionality'. The consistency and asymptotic normality of the proposed estimators are established for the case where both cross-sectional dimension and temporal dimension go to infinity. The theoretical findings are further supported for small samples via a Monte Carlo study. The results suggest that the proposed method is robust to a wide variety of data generation processes.
资助项目National Natural Science Foundation of China[71703156] ; National Natural Science Foundation of China[71988101] ; National Natural Science Foundation of China[72073126]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000614789100005
出版者SPRINGER HEIDELBERG
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/58103]  
专题中国科学院数学与系统科学研究院
通讯作者Sun, Yuying
作者单位1.Cent Univ Finance & Econ, Sch Math & Stat, Beijing 100081, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Huang, Bai,Sun, Yuying,Wang, Shouyang. Estimation of Partially Linear Panel Data Models with Cross-Sectional Dependence[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2021:12.
APA Huang, Bai,Sun, Yuying,&Wang, Shouyang.(2021).Estimation of Partially Linear Panel Data Models with Cross-Sectional Dependence.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,12.
MLA Huang, Bai,et al."Estimation of Partially Linear Panel Data Models with Cross-Sectional Dependence".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY (2021):12.

入库方式： OAI收割

来源：数学与系统科学研究院

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