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- Title
Non-parametric regression with a latent time series.
- Authors
LINTON, OLIVER; NIELSEN, JENS PERCH; NIELSEN, SØREN FEODOR
- Abstract
In this paper we investigate a class of semi-parametric models for panel data sets where the cross-section and time dimensions are large. Our model contains a latent time series that is to be estimated and perhaps forecasted along with a non-parametric covariate effect. Our model is motivated by the need to be flexible with regard to the functional form of covariate effects but also the need to be practical with regard to forecasting of time series effects. We propose estimation procedures based on local linear kernel smoothing; our estimators are all explicitly given. We establish the pointwise consistency and asymptotic normality of our estimators. We also show that the effects of estimating the latent time series can be ignored in certain cases.
- Subjects
REGRESSION analysis; ECONOMETRICS; ANALYSIS of variance; MATHEMATICAL models; ECONOMIC models
- Publication
Econometrics Journal, 2009, Vol 12, Issue 2, p187
- ISSN
1368-4221
- Publication type
Article
- DOI
10.1111/j.1368-423X.2009.00278.x