Semiparametric estimation of fixed-effects panel data varying coefficient models

Sun, Yiguo; Carroll, Raymond J.; Li, Dingding

doi:10.1108/s0731-9053(2009)0000025006

Cited by 99 publications

(87 citation statements)

References 13 publications

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“…In particular, if the first element of x it is unity (for the intercept) with the corresponding unknown parameter function β 1 (z it ), then first-differencing would render β 1 (z it ) − β 1 (z is ) [t = s] on the right-hand side of (3.1). For more on difficulties associated with the estimation of the first-differenced varying coefficient panel data model with fixed effects, see Sun et al (2009). Most importantly, estimation of the first-differenced model (3.1) is likely to yield inconsistent estimates of β(·) due to endogenous sample selection.…”

Section: Estimation Methodologymentioning

confidence: 99%

“…In the latter case, the main equation of interest (2.1a) can be estimated from the selected sample while ignoring (2.1b). Thus, model (2.1) collapses to a more standard case of a semiparametric varying coefficient panel data model with fixed effects considered by Sun et al (2009).…”

Section: Binary Sample Selectionmentioning

confidence: 99%

“…Given that there are unlikely to be many (if any at all) cross-sections with exactly the same selection probabilities over time, we adopt the idea of Ahn and Powell (1993) and Kyriazidou (1997) and weigh these cross-sections based on "closeness" of their respective selection probabilities (and thus their selectivity biases) to being the same over time. The weighted semiparametric outcome equation can then be estimated in a manner similar to that proposed by Sun et al (2009). The selection bias term is "asymptotically" removed from the equation along with fixed effects using kernel-based weights.…”

Section: Introductionmentioning

confidence: 99%

“…For instance, Cai and Li (2008) study a VC model in the dynamic panel setting that assumes any unobserved effects away. Sun et al (2009) somewhat fill the void by proposing a VC panel data model estimator which allows treatment of both random and fixed effects. 2 However, the semiparametric literature has broadly overlooked another important feature of the data that applied researchers often have to deal with: namely, the presence of selectivity.…”

Section: Introductionmentioning

confidence: 99%

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Varying coefficient panel data model in the presence of endogenous selectivity and fixed effects

Malikov

Kumbhakar

Sun

2016

Journal of Econometrics

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This paper considers a flexible panel data sample selection model in which (i) the outcome equation is permitted to take a semiparametric, varying coefficient form to capture potential parameter heterogeneity in the relationship of interest, (ii) both the outcome and (parametric) selection equations contain unobserved fixed effects and (iii) selection is generalized to a polychotomous case. We propose a two-stage estimator. Given consistent parameter estimates from the selection equation obtained in the first stage, we estimate the semiparametric outcome equation using data for the observed individuals whose likelihood of being selected into the sample stays approximately the same over time. The selection bias term is then "asymptotically" removed from the equation along with fixed effects using kernel-based weights. The proposed estimator is consistent and asymptotically normal. We first investigate the finite sample properties of the estimator in a small Monte Carlo study and then apply it to study production technologies of U.S. retail credit unions from 2002 to 2006.

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Section: Estimation Methodologymentioning

confidence: 99%

Section: Binary Sample Selectionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Varying coefficient panel data model in the presence of endogenous selectivity and fixed effects

Malikov

Kumbhakar

Sun

2016

Journal of Econometrics

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“…One example is the paper by Sun, Carroll and Li (2009) where the idiosyncratic error terms ε it are independent of X js , Z js and α j for all i,j, t, and s. Note that this model reduces to (1.1) when Z it ≡ 1. Obviously, they do not allow Y i,t−1 to enter X it .…”

Section: Introductionmentioning

confidence: 99%

Nonparametric dynamic panel data models: Kernel estimation and specification testing

2013

Journal of Econometrics

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Motivated by the first differencing method for linear panel data models, we propose a class of iterative local polynomial estimators for nonparametric dynamic panel data models with or without exogeous regressors. The estimators utilize the additive structure of the first-differenced model, the fact that the two additive components have the same functional form, and the unknown function of interest is implicitly defined as a solution of a Fredholm integral equation of the second kind. We establish the uniform consistency and asymptotic normality of the estimators. We also propose a consistent test for the correct specification of linearity in typical dynamic panel data models based on the L 2 distance of our nonparametric estimates and the parametric estimates under the linear restriction. We derive the asymptotic distributions of the test statistic under the null hypothesis and a sequence of Pitman local alternatives, and prove its consistency against global alternatives.Simulations suggest that the proposed estimators and tests perform well in finite samples. We apply our new methods to study the relation between economic growth, initial economic condition and capital accumulation and find the nonlinear relation between economic growth and initial economic condition.

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Time‐varying income elasticities of healthcare expenditure for the OECD and Eurozone

Casas

Gao

Peng

et al. 2021

J of Applied Econometrics

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Income elasticity dynamics of health expenditure is considered for the OECD and Eurozone over the period 1995-2014. Motivated by some modelling challenges, this paper studies a class of non-linear cointegration panel data models, controlling for cross-section dependence and certain endogeneity. Using the corresponding methods, our empirical analyses show a slight increase in the income elasticity of the healthcare expenditure over the years, but still with values under 1, meaning that healthcare is not a luxury good in the OECD and Eurozone.

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Semiparametric estimation of fixed-effects panel data varying coefficient models

Cited by 99 publications

References 13 publications

Varying coefficient panel data model in the presence of endogenous selectivity and fixed effects

Varying coefficient panel data model in the presence of endogenous selectivity and fixed effects

Nonparametric dynamic panel data models: Kernel estimation and specification testing

Time‐varying income elasticities of healthcare expenditure for the OECD and Eurozone

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