非参数固定效应面板数据模型的约束剖面加权最小二乘估计

Restricted Profile Weighted Least Squares Estimation of Nonparametric Panel Data Models with Fixed Effects

对异方差非参数固定效应面板数据模型的估计进行了研究.采用约束剖面加权最小二乘法,给出了估计量的闭表达式并且证明了固定效应参数和非参数函数估计具有渐近正态分布性质.进一步,得到了固定效应参数和非参数函数估计的收敛率.

The problems of estimating nonparametric and heteroscedastic panel data models with fixed effects were investigated.By adopting a restricted profile weighted least squares method,the closed expressions and the asymptotic normality were established re- spectively for both estimators of fixed effects and nonparametric function in the models.Furthermore,the convergence rates of the re- sulting estimators were obtained.