Statistical inference for partially linear errors-in-variables panel data models with fixed effects

• Main Authors: Bangqiang He, Minxiu Yu, Jinming Zhou
• Format: Article
• Language: English
• Published: Taylor & Francis Group 2021-01-01
• Series: Systems Science & Control Engineering
• Subjects: panel data; partially linear model; fixed effect; errors-in-variables
• Online Access: http://dx.doi.org/10.1080/21642583.2020.1856212

In this paper, we consider the statistical inference for the partially linear panel data models with fixed effects. We focus on the case where some covariates are measured with additive errors. We propose a modified profile least squares estimator of the regression parameter and the nonparametric components. The asymptotic normality for the parametric component and the rate of convergence for the nonparametric component are established. Consistent estimations of the error variance are also developed. We conduct simulation studies to demonstrate the finite sample performance of our proposed method and we also present an illustrative empirical application.