Direct semi-parametric estimation of fixed effects panel data varying coefficient models
提出一种新方法估计面板数据中未知形式的变系数模型，通过一阶差分和局部线性回归消除个体效应，并利用一步回拟合算法达到最优收敛速度，蒙特卡洛模拟显示有限样本性能良好。
In this paper, we present a new technique to estimate varying coefficient models of unknown form in a panel data framework where individual effects are arbitrarily correlated with the explanatory variables in an unknown way. The estimator is based on first differences and then a local linear regression is applied to estimate the unknown coefficients. To avoid a non-negligible asymptotic bias, we need to introduce a higher-dimensional kernel weight. This enables us to remove the bias at the price of enlarging the variance term and, hence, achieving a slower rate of convergence. To overcome this problem, we propose a one-step backfitting algorithm that enables the resulting estimator to achieve optimal rates of convergence for this type of problem. It also exhibits the so-called oracle efficiency property. We also obtain the asymptotic distribution. Because the estimation procedure depends on the choice of a bandwidth matrix, we also provide a method to compute this matrix empirically. The Monte Carlo results indicate the good performance of the estimator in finite samples.