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- W2133895809 abstract "We propose an alternative method for estimating the nonlinear component in semiparametric panel data models. Our method is based on marginal integration that allows us to recover the nonlinear component from an additive regression structure that results from the first differencing transformation. We characterize the asymptotic behavior of our estimator. We also extend the methodology to treat panel data models with two-way effects. Monte Carlo simulations show that our estimator behaves well in finite samples in both random effects and fixed effects settings." @default.
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- W2133895809 date "2012-04-01" @default.
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- W2133895809 title "Estimating semiparametric panel data models by marginal integration" @default.
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- W2133895809 doi "https://doi.org/10.1016/j.jeconom.2011.09.030" @default.
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