2018

Pavel Cizek,雷敬华——JOURNAL OF ECONOMETRICS:Identification and estimation of nonseparable single-index models in panel data with correlated random effect...

时间:2018-03-08
The identification in a nonseparable single-index models with correlated random effects is considered in panel data with a fixed number of time periods. The identification assumption is based on the correlated random effects structure. Under this assumption, the parameters of interest are identified up to a multiplicative constant and could be estimated by an average difference of derivatives estimator based on the local polynomial smoothing. We suggest to linearly combine the estimators obtaine
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