NONPARAMETRIC ESTIMATION OF DYNAMIC PANEL MODELS WITH FIXED EFFECTS
研究了带固定效应的自回归面板数据模型的非参数估计，提出了组内序列估计量并推导其收敛速度和渐近正态性，发现该估计量存在渐近偏差，进而开发了偏差校正的非参数估计量。
This paper considers nonparametric estimation of autoregressive panel data models with fixed effects. A within-group type series estimator is developed and its convergence rate and asymptotic normality are derived. It is found that the series estimator is asymptotically biased and the bias could reduce the mean-square convergence rate compared with the cross-section cases. A bias corrected nonparametric estimator is developed.