| Title: |
Lagged Dependent Variables |
| Authors: |
Wayne-roy Gayle; Jel Classification C |
| Contributors: |
The Pennsylvania State University CiteSeerX Archives |
| Source: |
http://people.virginia.edu/~wg4b/mainfile1.pdf. |
| Publication Year: |
2012 |
| Collection: |
CiteSeerX |
| Subject Terms: |
Correlated Random Effects; Single Index; Semiparametric; Panel Data; Predetermined |
| Description: |
This paper investigates identification and root-n–consistent estimation of a class of singleindex panel data models in which the link function is unknown, the unobserved individual effects may be correlated with all the explanatory variables, and all the explanatory variables may be predetermined, including lagged dependent variables. We propose two sets of sufficient conditions, one in which link function is assumed to be strictly increasing, and the other in which it is not. We propose simple kernel-based estimators for the models, and derive consistency and asymptotic normality results for the proposed estimators. Finally, we present results of two Monte-Carlo studies of the estimators. |
| Document Type: |
text |
| File Description: |
application/pdf |
| Language: |
English |
| Relation: |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.372.4901; http://people.virginia.edu/~wg4b/mainfile1.pdf |
| Availability: |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.372.4901; http://people.virginia.edu/~wg4b/mainfile1.pdf |
| Rights: |
Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| Accession Number: |
edsbas.5E10ECCE |
| Database: |
BASE |