Direct semi-parametric estimation of fixed effects panel data varying coefficient models
固定效应面板变系数模型的直接半参数估计
In this paper, we present a new technique to estimate varying coefficient models of unknown form in a panel data framework where individual effects are arbitrarily correlated with the explanatory variables in an unknown way. The estimator is based on first differences and then a local linear regression is applied to estimate the unknown coefficients. To avoid a non‐negligible asymptotic bias, we need to introduce a higher‐dimensional kernel weight. This enables us to remove…