Panel nonparametric regression with fixed effects
针对同时包含时间和截面维度的面板数据，提出一种非参数回归方法，允许个体固定效应、截面与时间依赖及条件异方差，并证明了GLS型估计优于简单估计，给出了渐近最优带宽选择。
Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specific components and allows also for cross-sectional and temporal dependence and conditional heteroscedasticity. A simple nonparametric estimate is shown to be dominated by a GLS-type one. Asymptotically optimal bandwidth choices are justified for both estimates. Feasible optimal bandwidths, and feasible optimal regression estimates, are also asymptotically justified. Finite sample performance is examined in a Monte Carlo study.