Classification of Nonparametric Regression Functions in Heterogeneous Panels
38 Pages Posted: 21 Feb 2015
Date Written: February 19, 2015
We investigate a nonparametric panel model with heterogeneous regression functions. In a variety of applications, it is natural to impose a group structure on the regression curves. Specifically, we may suppose that the observed individuals can be grouped into a number of classes whose members all share the same regression function. We develop a statistical procedure to estimate the unknown group structure from the observed data. Moreover, we derive the asymptotic properties of the procedure and investigate its finite sample performance by means of a simulation study and a real-data example.
Keywords: Panel data; nonparametric regression; classification of regression curves
JEL Classification: C10, C14, C33
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