Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64745
Authors: 
Robinson, Peter M.
Year of Publication: 
2011
Series/Report no.: 
cemmap working paper CWP10/11
Abstract: 
Panel data, whose series length T is large but whose cross-section size N need not be, are assumed to have a common time trend. The time trend is of unknown form, the model includes additive, unknown, individual-specific components, and we allow 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 the availability of cross-sectional data. Asymptotically optimal choices of bandwidth are justified for both estimates. Feasible optimal bandwidths, and feasible optimal trend estimates, are asymptotically justified, the finite sample performance of the latter being examined in a Monte Carlo study. A number of potential extensions are discussed.
Subjects: 
panel data
nonparametric time trend
cross-sectional dependence
generalized least squares
optimal bandwidth
JEL: 
C13
C14
C23
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
419.29 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.