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首页> 外文期刊>Journal of Econometrics >Nonparametric dynamic panel data models: Kernel estimation and specification testing
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Nonparametric dynamic panel data models: Kernel estimation and specification testing

机译：非参数动态面板数据模型：内核估计和规格测试

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摘要

Motivated by the first-differencing method for linear panel data models, we propose a class of iterative local polynomial estimators for nonparametric dynamic panel data models with or without exogenous regressors. The estimators utilize the additivestructure of the first-differenced model-the fact that the two additive components have the same functional form, and the unknown function of interest is implicitly defined as a solution of a Fredholm integral equation of the second kind. We establish the uniform consistency and asymptotic normality of the estimators. We also propose a consistent test for the correct specification of linearity in typical dynamic panel data models based on the L2 distance of our nonparametric estimates and the parametricestimates under the linear restriction. We derive the asymptotic distributions of the test statistic under the null hypothesis and a sequence of Pitman local alternatives, and prove its consistency against global alternatives. Simulations suggest that the proposed estimators and tests perform well for finite samples. We apply our new method to study the relationships among economic growth, the initial economic condition and capital accumulation, and find a significant nonlinear relation between economic growth and the initial economic condition.
机译：受线性面板数据模型的一阶微分方法的启发，我们针对具有或不具有外生回归变量的非参数动态面板数据模型提出了一类迭代局部多项式估计。估计器利用一阶微分模型的加法结构，即两个加法分量具有相同的函数形式，而所关注的未知函数隐式定义为第二类Fredholm积分方程的解。我们建立估计量的一致一致性和渐近正态性。我们还根据非参数估计的线性距离和线性约束下的参数估计值，为典型动态面板数据模型中的线性正确性提出了一致性测试。我们推导了原假设和一系列Pitman局部替代项下检验统计量的渐近分布，并证明了其与全局替代项的一致性。仿真表明，所提出的估计器和测试对于有限样本表现良好。我们应用新方法研究经济增长，初始经济状况和资本积累之间的关系，并发现经济增长与初始经济状况之间存在显着的非线性关系。

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