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• W1554555365 abstract "Abstract We study estimation and hypothesis testing in single‐index panel data models with individual effects. Through regressing the individual effects on the covariates linearly, we convert the estimation problem in single‐index panel data models to that in partially linear single‐index models. The conversion is valid regardless of the individual effects being random or fixed. We propose an estimating equation approach, which has a desirable double robustness property. We show that our method is applicable in single‐index panel data models with heterogeneous link functions. We further design a chi‐squared test to evaluate whether the individual effects are random or fixed. We conduct simulations to demonstrate the finite sample performance of the method and conduct a data analysis to illustrate its usefulness." @default.
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• W1554555365 date "2014-01-02" @default.
• W1554555365 modified "2023-10-01" @default.
• W1554555365 title "Statistical Inference for Single-index Panel Data Models" @default.
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• W1554555365 doi "https://doi.org/10.1111/sjos.12067" @default.
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