Semiparametric estimation of fixed effects panel data single-index model

Peng Lai; Gaorong Li; Heng Lian

doi:10.1016/j.spl.2013.03.005

Author(s)

Peng Lai
Gaorong Li
Heng Lian

Detail(s)

Original language	English
Pages (from-to)	1595-1602
Journal / Publication	Statistics and Probability Letters
Volume	83
Issue number	6
Publication status	Published - Jun 2013
Externally published	Yes

Link(s)

DOI	DOI https://doi.org/10.1016/j.spl.2013.03.005 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-84876329413&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(2ac159a5-5ad2-473b-9832-249346deaa56).html

Abstract

We consider the fixed effects panel data single-index model. For estimation of the link function and the index parameter, the local linear smoothing and the least squares method are used. We also propose a test for the presence of the fixed effects. Finite sample performances are illustrated using simulations. © 2013 Elsevier B.V.

Research Area(s)

Fixed effects, Local linear smoothing, Panel data, Single-index model, Test statistic

Citation Format(s)

[ RIS ] [ BibTeX ]

Semiparametric estimation of fixed effects panel data single-index model. / Lai, Peng; Li, Gaorong; Lian, Heng.
In: Statistics and Probability Letters, Vol. 83, No. 6, 06.2013, p. 1595-1602.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

Lai, P, Li, G & Lian, H 2013, 'Semiparametric estimation of fixed effects panel data single-index model', Statistics and Probability Letters, vol. 83, no. 6, pp. 1595-1602. https://doi.org/10.1016/j.spl.2013.03.005

Lai, P., Li, G., & Lian, H. (2013). Semiparametric estimation of fixed effects panel data single-index model. Statistics and Probability Letters, 83(6), 1595-1602. https://doi.org/10.1016/j.spl.2013.03.005

Lai P, Li G, Lian H. Semiparametric estimation of fixed effects panel data single-index model. Statistics and Probability Letters. 2013 Jun;83(6):1595-1602. doi: 10.1016/j.spl.2013.03.005

Lai, Peng ; Li, Gaorong ; Lian, Heng. / Semiparametric estimation of fixed effects panel data single-index model. In: Statistics and Probability Letters. 2013 ; Vol. 83, No. 6. pp. 1595-1602.