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Saturday, June 1
Computational Statistics
Computational Statistics E-Posters
Sat, Jun 1, 9:30 AM - 10:30 AM
Grand Ballroom Foyer

Estimation of Semiparametric Functional Coefficients Panel Data Model (305169)

*Shaymal C Halder, Auburn University 

Keywords: Semiparametric, fixed effects, first difference.

We consider the problem of estimating a semiparametric varying coefficient panel data model where the unobserved individual effects are correlated with explanatory variables in an unknown arbitrary way using a local linear regression approach. We present a new technique to estimate this model along the lines of Sun & Malikov's (2015; 2018) whereby,unlike Rodriguez & Soberon's (2014) alternative approach, we locally approximate the fixed-effects-free transformed equation around two different points. Using Monte Carlo simulations, we study potential gains in the finite sample performance and/or the computational time of the proposed estimation procedure over available alternatives under different scenarios.