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Semiparametric estimation of nonlinear panel-data models

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Titel Semiparametric estimation of nonlinear panel-data models
Looptijd 07 / 2011 - 07 / 2015
Status Lopend
Dissertatie Ja
Onderzoeknummer OND1342447
Leverancier gegevens NWO

Samenvatting (EN)

The use of panel data in economic applications steadily increases, but there is limited knowledge regarding estimation of nonlinear fixed-effect models. Most estimators are designed for particular models and analogs of general semiparametric estimation available for cross-sectional data do not practically exist. To improve upon this, a method for correcting bias of semiparametric estimators is first proposed, based on the indirect inference principle. Next, this bias correction technique is used to adapt existing semiparametric estimators of single-index models to nonlinear fixed-effect models. Finally, a new rank-correlation estimator is proposed for panel models with limited dependent response variables.

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Projectleider Dr. P. Cizek
Promovendus J. Lei

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