Sieve estimation of panel data models with cross section dependence

Journal of Econometrics

Volumn 169, Issue 1, 2012, Pages 34-47

  Su, Liangjun ^a   Jin, Sainan ^a  

^a SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

Common factor; Cross section dependence; Heterogeneous regression; Panel data; Sieve estimation

Indexed keywords

ASYMPTOTIC VARIANCE; COMMON FACTORS; CROSS-SECTION DEPENDENCE; FINITE SAMPLES; HETEROGENEOUS REGRESSION; MONTE CARLO SIMULATION; NONPARAMETRIC REGRESSION FUNCTIONS; PANEL DATA; PANEL DATA MODELS; REGRESSION RELATIONSHIP; SEMIPARAMETRIC;

ASYMPTOTIC ANALYSIS; MODELS; MONTE CARLO METHODS; NORMAL DISTRIBUTION; SAMPLING; SIEVES;

ESTIMATION;

EID: 84861848463     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.01.006     Document Type: Conference Paper

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