{"title":"具有截面相关性的半参数单指标面板数据模型","authors":"B. Peng, Chaohua Dong, Jiti Gao","doi":"10.2139/ssrn.2401476","DOIUrl":null,"url":null,"abstract":"In this paper, we consider a semiparametric single-index panel data model with cross-sectional dependence and stationarity. Meanwhile, we allow fixed effects to be correlated with the regressors to capture unobservable heterogeneity. Under a general spatial error dependence structure, we then establish some consistent closed-form estimates for both the unknown parameters and the link function for the case where both cross-sectional dimension (N) and temporal dimension (T) go to infinity. Rates of convergence and asymptotic normality are established for the proposed estimates. Our experience suggests that the proposed estimation method is simple and thus attractive for finite-sample studies and empirical implementations. Moreover, both the finite-sample performance and the empirical applications show that the proposed estimation method works well when the cross-sectional dependence exists in the data set.","PeriodicalId":264857,"journal":{"name":"ERN: Semiparametric & Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2014-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"42","resultStr":"{\"title\":\"Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence\",\"authors\":\"B. Peng, Chaohua Dong, Jiti Gao\",\"doi\":\"10.2139/ssrn.2401476\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we consider a semiparametric single-index panel data model with cross-sectional dependence and stationarity. Meanwhile, we allow fixed effects to be correlated with the regressors to capture unobservable heterogeneity. Under a general spatial error dependence structure, we then establish some consistent closed-form estimates for both the unknown parameters and the link function for the case where both cross-sectional dimension (N) and temporal dimension (T) go to infinity. Rates of convergence and asymptotic normality are established for the proposed estimates. Our experience suggests that the proposed estimation method is simple and thus attractive for finite-sample studies and empirical implementations. Moreover, both the finite-sample performance and the empirical applications show that the proposed estimation method works well when the cross-sectional dependence exists in the data set.\",\"PeriodicalId\":264857,\"journal\":{\"name\":\"ERN: Semiparametric & Nonparametric Methods (Topic)\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2014-02-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"42\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Semiparametric & Nonparametric Methods (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2401476\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Semiparametric & Nonparametric Methods (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2401476","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence
In this paper, we consider a semiparametric single-index panel data model with cross-sectional dependence and stationarity. Meanwhile, we allow fixed effects to be correlated with the regressors to capture unobservable heterogeneity. Under a general spatial error dependence structure, we then establish some consistent closed-form estimates for both the unknown parameters and the link function for the case where both cross-sectional dimension (N) and temporal dimension (T) go to infinity. Rates of convergence and asymptotic normality are established for the proposed estimates. Our experience suggests that the proposed estimation method is simple and thus attractive for finite-sample studies and empirical implementations. Moreover, both the finite-sample performance and the empirical applications show that the proposed estimation method works well when the cross-sectional dependence exists in the data set.