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dc.contributor.authorFeng, G
dc.contributor.authorGao, J
dc.contributor.authorPeng, B
dc.contributor.authorZhang, X
dc.date.accessioned2019-06-24T13:12:11Z
dc.date.issued2017-01-01
dc.description.abstractIn this paper, we propose a semiparametric varying-coefficient categorical panel data model in which covariates (variables affecting the coefficients) are purely categorical. This model has two features: first, fixed effects are included to allow for correlation between individual unobserved heterogeneity and the regressors; second, it allows for cross-sectional dependence through a general spatial error dependence structure. We derive a semiparametric estimator for our model by using a modified within transformation, and then show the asymptotic and finite properties for this estimator under large N and T. The Monte Carlo study shows that our methodology works well for both large N and T, and large N and small T cases. Finally, we illustrate our model by analyzing the effects of state-level banking regulations on the returns to scale of commercial banks in the US. Our empirical results suggest that returns to scale is higher in more regulated states than in less regulated states.en_GB
dc.description.sponsorshipAustralian Research Councilen_GB
dc.identifier.citationVol. 196 (1), pp. 68 - 82en_GB
dc.identifier.doi10.1016/j.jeconom.2016.09.011
dc.identifier.grantnumberDP130104229en_GB
dc.identifier.grantnumberDP150101012en_GB
dc.identifier.urihttp://hdl.handle.net/10871/37646
dc.language.isoenen_GB
dc.publisherElsevieren_GB
dc.rights© 2016. This version is made available under the CC-BY-NC-ND 4.0 license: https://creativecommons.org/licenses/by-nc-nd/4.0/  en_GB
dc.subjectCategorical variableen_GB
dc.subjectEstimation theoryen_GB
dc.subjectNonlinear panel data modelen_GB
dc.titleA Varying-Coefficient Panel Data Model with Fixed Effects: Theory and An Application to U.S. Commercial Banksen_GB
dc.typeArticleen_GB
dc.date.available2019-06-24T13:12:11Z
dc.identifier.issn0304-4076
dc.descriptionThis is the author accepted manuscript. The final version is available from Elsevier via the DOI in this record.en_GB
dc.identifier.journalJournal of Econometricsen_GB
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/ en_GB
dcterms.dateAccepted2016-09-07
rioxxterms.versionAMen_GB
rioxxterms.licenseref.startdate2017-01-01
rioxxterms.typeJournal Article/Reviewen_GB
refterms.dateFCD2019-06-24T13:07:14Z
refterms.versionFCDAM
refterms.dateFOA2019-06-24T13:12:24Z
refterms.panelCen_GB


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© 2016. This version is made available under the CC-BY-NC-ND 4.0 license: https://creativecommons.org/licenses/by-nc-nd/4.0/  
Except where otherwise noted, this item's licence is described as © 2016. This version is made available under the CC-BY-NC-ND 4.0 license: https://creativecommons.org/licenses/by-nc-nd/4.0/