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Statistical Inference for Single‐index Panel Data Models
Author(s) -
Zhu Liping,
You Jinhong,
Xu Qunfang
Publication year - 2014
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/sjos.12067
Subject(s) - panel data , random effects model , covariate , mathematics , single index model , inference , fixed effects model , index (typography) , robustness (evolution) , statistics , econometrics , statistical inference , statistical hypothesis testing , computer science , artificial intelligence , medicine , biochemistry , meta analysis , chemistry , world wide web , gene
We study estimation and hypothesis testing in single‐index panel data models with individual effects. Through regressing the individual effects on the covariates linearly, we convert the estimation problem in single‐index panel data models to that in partially linear single‐index models. The conversion is valid regardless of the individual effects being random or fixed. We propose an estimating equation approach, which has a desirable double robustness property. We show that our method is applicable in single‐index panel data models with heterogeneous link functions. We further design a chi‐squared test to evaluate whether the individual effects are random or fixed. We conduct simulations to demonstrate the finite sample performance of the method and conduct a data analysis to illustrate its usefulness.