ASYMPTOTIC THEORY IN FIXED EFFECTS PANEL DATA SEEMINGLY UNRELATED PARTIALLY LINEAR REGRESSION MODELS
固定效应面板似不相关部分线性回归的渐近理论
This paper deals with statistical inference for the fixed effects panel data seemingly unrelated partially linear regression model. The model naturally extends the traditional fixed effects panel data regression model to allow for semiparametric effects. Multiple regression equations are permitted, and the model includes the aggregated partially linear model as a special case. A weighted profile least squares estimator for the parametric components is proposed and shown to…