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Three Essays On Applied Semiparametric Methods, Qinling Lu
Three Essays On Applied Semiparametric Methods, Qinling Lu
Graduate Theses, Dissertations, and Problem Reports
The first chapter studies a varying coefficient panel data model with different smoothing variables and fixed effects using a two-step estimation approach. The first-step pilot estimator is constructed by ap- approximating the varying coefficients with B-spline functions. The pilot estimator is then used to perform a one-step backfitting to obtain the second-step efficient estimator with kernel local linear estimation. The second-step estimator is efficient in the sense of being equivalent to a procedure knowing the other components of the varying coefficient. The asymptotic properties of both the pilot and efficient estimators are obtained. A Monte Carlo simulation indicates that the …