Estimation of a nonlinear panel data model with semiparametric individual effects
带半参数个体效应的非线性面板模型估计
This paper investigates identification and estimation of a class of nonlinear panel data, single-index models. The model allows for unknown time-specific link functions, and semiparametric specification of the individual-specific effects. We develop an estimator for the parameters of interest, and propose a powerful new kernel-based modified backfitting algorithm to compute the estimator. We derive uniform rates of convergence results for the estimators of the link…