Simultaneous confidence band for nonparametric fixed effects panel data models

Gaorong Li, Heng PENG*, Tiejun TONG

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

13 Citations (Scopus)

Abstract

This paper constructs the simultaneous confidence band for the nonparametric function in nonparametric fixed effects panel data models. We first transform the nonparametric fixed effects panel data models into the partially linear models. We then obtain the estimator of the nonparametric function and remove the fixed effects using the profile least-squares method. Finally we apply the established asymptotic results to construct the simultaneous confidence band for the nonparametric function.

Original languageEnglish
Pages (from-to)229-232
Number of pages4
JournalEconomics Letters
Volume119
Issue number3
DOIs
Publication statusPublished - Jun 2013

Scopus Subject Areas

  • Finance
  • Economics and Econometrics

User-Defined Keywords

  • Fixed effects
  • Nonparametric regression
  • Panel data
  • Profile least-squares
  • Simultaneous confidence band

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