Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
In this paper, we study semiparametric estimation for a single-index panel data model where the nonlinear link function varies among the individuals. We propose using the so-called refined minimum average variance estimation based on a local linear smoothing method to estimate both the parameters in the single-index and the average …