Nonparametric estimation of the marginal effect in fixed-effect panel data models

JOURNAL OF MULTIVARIATE ANALYSIS

卷:171

Article

Lee, Yoonseok^1,2  Mukherjee, Debasri³  Ullah, Aman⁴ 

[1] Syracuse Univ, Dept Econ, Syracuse, NY 13244 USA

[2] Syracuse Univ, Ctr Policy Res, Syracuse, NY 13244 USA

[3] Western Michigan Univ, Econ Dept, Kalamazoo, MI 49008 USA

[4] Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA

关键词: Environmental Kuznets curve;    Fixed effects;    Local-within-transformation;    Multivariate local linear least squares;    Nonparametric estimation;    Panel data;   

DOI  :  10.1016/j.jmva.2018.11.013

来源: Elsevier

【 摘 要 】

This paper considers multivariate local linear least squares estimation of panel data models when fixed effects are present. One-step estimation of the local marginal effect is of prime interest. A within-group nonparametric estimator is developed, where the fixed effects are eliminated by subtracting individual-specific locally weighted time average, i.e., the local-within -transformation. It is shown that the local-within-transformation-based estimator satisfies the standard properties of the local linear estimator. In comparison, nonparametric estimators based on the conventional (global) within-transformation or first difference result in estimators which are biased, even in large samples. The new estimator is used to examine the nonlinear relationship between income and nitrogen-oxide level (i.e., the environmental Kuznets curve) based on US state-level panel data. (C) 2018 Elsevier Inc. All rights reserved.

【 授权许可】

Free