Semiparametric estimation of generalized transformation panel data models with nonstationary error
By: Chen, Xi and Wang, Songnian
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Material type: 
BookPublisher: The Econometrics Journal Description: 23(3), Sep, 2020: p.386-402.Subject(s): Generalized transformation model, Fixed effects, Non-stationary
In:
The Econometrics JournalSummary: Early studies of the generalized transformation panel data model resorted to the identical marginal distribution of the error term over time. This stationarity condition is restrictive for many applications, especially as the number of time periods increases. This paper considers nonstationary censored generalized transformation panel data models where the idiosyncratic error has an unknown nonseparable form and admits a flexible relationship between the observable and the unobservable. We propose an estimation method, and establish the consistency and asymptotic normality for the proposed estimator. Simulation results illustrate the good performance of our estimator in a finite sample. We apply the proposed method to bilateral trade issues of the U.S.A. and foreign countries. - Reproduced
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Articles
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Indian Institute of Public Administration | 23(3), Sep, 2020: p.386-402 | Available | AR124356 |
Early studies of the generalized transformation panel data model resorted to the identical marginal distribution of the error term over time. This stationarity condition is restrictive for many applications, especially as the number of time periods increases. This paper considers nonstationary censored generalized transformation panel data models where the idiosyncratic error has an unknown nonseparable form and admits a flexible relationship between the observable and the unobservable. We propose an estimation method, and establish the consistency and asymptotic normality for the proposed estimator. Simulation results illustrate the good performance of our estimator in a finite sample. We apply the proposed method to bilateral trade issues of the U.S.A. and foreign countries. - Reproduced
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