Statistical inference for partially linear errors-in-variables panel data models with fixed effects

Systems Science & Control Engineering

Bangqiang He¹  Minxiu Yu¹  Jinming Zhou¹ 

[1] Anhui Polytechnic University;

关键词: panel data;    partially linear model;    fixed effect;    errors-in-variables;   

DOI  :  10.1080/21642583.2020.1856212

来源: DOAJ

【 摘 要 】

In this paper, we consider the statistical inference for the partially linear panel data models with fixed effects. We focus on the case where some covariates are measured with additive errors. We propose a modified profile least squares estimator of the regression parameter and the nonparametric components. The asymptotic normality for the parametric component and the rate of convergence for the nonparametric component are established. Consistent estimations of the error variance are also developed. We conduct simulation studies to demonstrate the finite sample performance of our proposed method and we also present an illustrative empirical application.

【 授权许可】

Unknown