Title: Functional-coefficient regression models for panel data
Authors: Xiao Huang - Kennesaw State University (United States) [presenting]
Abstract: The local linear regression method is used to estimate functional coefficients in panel data with interactive fixed effects. The use of interactive fixed effects not only captures cross-section dependence but also mitigates the endogeneity problem while maintaining flexible context-based covariate effects. We establish the uniform strong consistency result of the functional-coefficient estimator. A cross-validation procedure combined with an iterative algorithm is used in Monte Carlo simulation to demonstrate the good finite sample properties of the proposed estimator.