Lee paper on nonparametric estimation of dynamic panel models published in Econometric Theory
May 26, 2014
Nonparametric Estimation of Dynamic Panel Models with Fixed Effects
Yoonseok Lee
Econometric Theory, May 2014
This paper considers nonparametric estimation of autoregressive panel data models with fixed effects. A within-group type series estimator is developed and its convergence rate and asymptotic normality are derived. It is found that the series estimator is asymptotically biased and the bias could reduce the mean-square convergence rate compared with the cross-section cases. A bias corrected nonparametric estimator is developed.