Classification of Nonparametric Regression Functions in Heterogeneous Panels

38 Pages Posted: 21 Feb 2015

See all articles by Michael Vogt

Michael Vogt

University of Cambridge

Oliver B. Linton

University of Cambridge

Date Written: February 19, 2015

Abstract

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

Suggested Citation

Vogt, Michael and Linton, Oliver B., Classification of Nonparametric Regression Functions in Heterogeneous Panels (February 19, 2015). Available at SSRN: https://ssrn.com/abstract=2567312 or http://dx.doi.org/10.2139/ssrn.2567312

Michael Vogt (Contact Author)

University of Cambridge ( email )

Trinity Ln
Cambridge, CB2 1TN
United Kingdom

Oliver B. Linton

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

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