Linton, Oliver B.
[Verfasser:in]
;
Nielsen, Søren Feodor
[Sonstige Person, Familie und Körperschaft];
Nielsen, Jens Perch
[Sonstige Person, Familie und Körperschaft]
Nonparametric Regression with a Latent Time Series
Erschienen in:LSE STICERD Research Paper ; No. EM538
Umfang:
1 Online-Ressource (29 p)
Sprache:
Englisch
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2009 erstellt
Beschreibung:
In this paper we investigate a class of semiparametric models for panel datasets 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 nonparametric covariate effect. Our model is motivated by the need to be flexible with regard to 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