Resource title

Nonparametric trending regression with cross-sectional dependence

Resource image

image for OpenScout resource :: Nonparametric trending regression with cross-sectional dependence

Resource description

Panel data, whose series length T is large but whose cross-section size N need not be, are assumed to have common time trend, of unknown form. The model includes additive, unknown, individual-specific components and allows for spatial or other cross-sectional dependence and/or heteroscedasticity. A simple smoothed nonparametric trend estimate is shown to be dominated by an estimate which exploits availability of cross-sectional data. Asymptotically optimal bandwidth choices are justified for both estimates. Feasible optimal bandwidths, and feasible optimal trend estimates, are asymptotically justified, finite sample performance of the latter being examined in a Monte Carlo study. Potential extensions are discussed.

Resource author

Resource publisher

Resource publish date

Resource language

en

Resource content type

Resource resource URL

http://eprints.lse.ac.uk/42972/

Resource license