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Local GMM estimation of semiparametric panel data with smooth coefficient models

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Local GMM estimation of semiparametric panel data with smooth coefficient models. / Tran, Kien C.; Tsionas, Michael.
In: Econometric Reviews, Vol. 29, No. 1, 11.2009, p. 39-61.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Tran, KC & Tsionas, M 2009, 'Local GMM estimation of semiparametric panel data with smooth coefficient models', Econometric Reviews, vol. 29, no. 1, pp. 39-61. https://doi.org/10.1080/07474930903327856

APA

Tran, K. C., & Tsionas, M. (2009). Local GMM estimation of semiparametric panel data with smooth coefficient models. Econometric Reviews, 29(1), 39-61. https://doi.org/10.1080/07474930903327856

Vancouver

Tran KC, Tsionas M. Local GMM estimation of semiparametric panel data with smooth coefficient models. Econometric Reviews. 2009 Nov;29(1):39-61. doi: 10.1080/07474930903327856

Author

Tran, Kien C. ; Tsionas, Michael. / Local GMM estimation of semiparametric panel data with smooth coefficient models. In: Econometric Reviews. 2009 ; Vol. 29, No. 1. pp. 39-61.

Bibtex

@article{f62e167205a14e8a95ae48d3ccb7d428,
title = "Local GMM estimation of semiparametric panel data with smooth coefficient models",
abstract = "In this article, we consider the estimation of semiparametric panel data smooth coefficient models. We propose a class of local generalized method of moments (LGMM) estimators that are simple and easy to implement in practice. We show that the proposed LGMM estimators are consistent and asymptotically normal. Monte Carlo simulations suggest that our proposed estimator performs quite well in finite samples. An empirical application using a large panel of U.K. firms is also presented.",
keywords = "Local Generalized Method of Moments, Monte Carlo simulation, Semiparametric panel data model, Smooth coefficient",
author = "Tran, {Kien C.} and Michael Tsionas",
year = "2009",
month = nov,
doi = "10.1080/07474930903327856",
language = "English",
volume = "29",
pages = "39--61",
journal = "Econometric Reviews",
issn = "0747-4938",
publisher = "Taylor and Francis Ltd.",
number = "1",

}

RIS

TY - JOUR

T1 - Local GMM estimation of semiparametric panel data with smooth coefficient models

AU - Tran, Kien C.

AU - Tsionas, Michael

PY - 2009/11

Y1 - 2009/11

N2 - In this article, we consider the estimation of semiparametric panel data smooth coefficient models. We propose a class of local generalized method of moments (LGMM) estimators that are simple and easy to implement in practice. We show that the proposed LGMM estimators are consistent and asymptotically normal. Monte Carlo simulations suggest that our proposed estimator performs quite well in finite samples. An empirical application using a large panel of U.K. firms is also presented.

AB - In this article, we consider the estimation of semiparametric panel data smooth coefficient models. We propose a class of local generalized method of moments (LGMM) estimators that are simple and easy to implement in practice. We show that the proposed LGMM estimators are consistent and asymptotically normal. Monte Carlo simulations suggest that our proposed estimator performs quite well in finite samples. An empirical application using a large panel of U.K. firms is also presented.

KW - Local Generalized Method of Moments

KW - Monte Carlo simulation

KW - Semiparametric panel data model

KW - Smooth coefficient

U2 - 10.1080/07474930903327856

DO - 10.1080/07474930903327856

M3 - Journal article

VL - 29

SP - 39

EP - 61

JO - Econometric Reviews

JF - Econometric Reviews

SN - 0747-4938

IS - 1

ER -