Fitting partially linear functional-coefficient panel-data models with Stata. (December 2020)

• Record Type: Journal Article
• Authors: Du, Kerui; Zhang, Yonghui; Zhou, Qiankun
• Is Part Of: Stata journal. Volume 20:Number 4(2020)
• Page Start: 976
• Page End: 998
• Publication Date: 2020-12
• Subjects: st0624 -- xtplfc -- ivxtplfc -- xtdplfc -- functional coefficients -- panel data -- fixed effects -- endogenous variables -- sieve -- spline; Statistics -- Periodicals; Statistics -- Computer programs -- Periodicals; 001.422
• DOI: 10.1177/1536867X20976339
• Languages: English
• ISSNs: 1536-867X

Abstract

In this article, we describe the implementation of fitting partially linear functional-coefficient panel models with fixed effects proposed by An, Hsiao, and Li [2016, Semiparametric estimation of partially linear varying coefficient panel data models in Essays in Honor of Aman Ullah ( Advances in Econometrics, Volume 36 )] and Zhang and Zhou (Forthcoming, Econometric Reviews ). Three newcommands xtplfc, ivxtplfc, andxtdplfc are introduced and illustrated through Monte Carlo simulations to exemplify the effectiveness of these estimators.