带有固定效应的半参数面板数据模型的回归样条估计

Regression Splines Estimation for Semiparametric Panel Data Models with Fixed Effects

摘要: 本文研究了带有固定效应的半参数面板数据模型的B样条估计.给出了非参数函数m的B样条估计的渐近偏差的表达式. 我们的研究结果表明,B样条估计量的渐近偏差不依赖于工作协方差矩阵. 通过蒙特卡洛模拟,证实了我们的结论.

Abstract: In this paper, we study the asymptotic behavior of the B-spline estimator for semiparametric panel data model with fixed effects.We give explicit expression for the asymptotic bias of B-spline estimator for nonparametric function m. Our study shows that the asymptotic bias of the B-spline estimator does not depend on the working correlation matrix. Simulations are conducted to demonstrate our conclusion.