English, Article edition: Non-parametric regression with a latent time series Oliver Linton; Jens Perch Nielsen; Søren Feodor Nielsen

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  • article
Language
  • English

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Title
  • Non-parametric regression with a latent time series
Author
  • Oliver Linton
  • Jens Perch Nielsen
  • Søren Feodor Nielsen
Physical Description
  • article
Notes
  • In this paper we investigate a class of semi-parametric models for panel data sets 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 non-parametric covariate effect. Our model is motivated by the need to be flexible with regard to the 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. Copyright © 2009 The Author(s). Journal compilation © Royal Economic Society 2009
  • RePEc:ect:emjrnl:v:12:y:2009:i:2:p:187-207
Language
  • English
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