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Instituto Superior de Economia e Gestão (ISEG)


SEMINÁRIO ISEG 2S | Nonparametric Estimation of Fixed Effects Panel Data Varying Coefficient Models

Em 26-05-2014 às 11:30 / Quelhas 6 | Piso 3 | Room Delta


» Click here to visit the ISEG 2S webpage and view the complete programme for the Seminar Series.

Juan Rodriguez-Poo - Universidad de Cantabria

Nonparametric Estimation of Fixed Effects Panel Data Varying Coefficient Models


In this paper, we consider the estimation of a panel data model where the heterogeneity term is arbitrarily correlated with the covariates and the coefficients are unknown functions of some explanatory variables. The estimator is based in a deviation from the mean transformation of the regression model and then a local linear regression is applied to estimate the unknown varying coefficient functions. It turns out that the standard use of this technique rends a non-negligible asymptotic bias. In order to avoid it, in the estimation procedure, we introduce a high dimensional kernel weight. As a consequence, the resulting estimator shows a bias that asymptotically tends to zero at usual nonparametric rates. However, the variance is enlarged,
and therefore the estimator shows a very slow rate of convergence. In order to achieve the optimal rate, we propose a one-step backfitting algorithm. The resulting two step estimator is shown to be asymptotically normal and its rate of convergence is optimal within its class of smoothness functions. Furthermore, the estimator is oracle efficient. Finally, we show some Monte Carlo results that confirm the theoretical findings.

Organizing Team
This seminars series is organized by Joana Pais (ECO), Raquel M. Gaspar (FIN/MG) and Isabel Proença (QM).

Meeting the Speaker
All speakers are available to meet faculty at ISEG before the talk. Slots are limited. To book your time with the speaker, contact one of the coordination team members.

Mailing list
To join the ISEG 2S Seminar Mailing List and receive regular information contact Filomena Ferreira.

If you come to the seminars at ISEG by car, please contact Filomena Ferreira to assure your entrance into the park.