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Panel Data Set (panel + data_set)
Kinds of Panel Data Set Selected AbstractsTHE CRIMINOGENIC EFFECTS OF IMPRISONMENT: EVIDENCE FROM STATE PANEL DATA, 1974,2002CRIMINOLOGY AND PUBLIC POLICY, Issue 3 2007LYNNE M. VIERAITIS Research Summary: The heavy reliance on the use of incarceration in an attempt to address the crime problem has resulted in a dramatic growth in the number of state prisoners over the past 30 years. In recent years, however, a growing concern has developed about the impact that large numbers of offenders released from prison will have on crime rates. Using a state panel data set for 46 states from 1974 to 2002, this study demonstrates that although prison population growth seems to be associated with statistically significant decreases in crime rates, increases in the number of prisoners released from prison seem to be significantly associated with increases in crime. Because we control for changes in prison population levels, we attribute the apparent positive influences on crime that seem to follow prison releases to the criminogenic effects of prison. Policy Implications: Policy makers should continue to serve the public interest by carefully considering policies that are designed to reduce incarceration rates and thus assuage the criminogenic effects of prison. These policies may include changes in sentencing, changes in probation and/or parole practices, or better funding of reentry services prerelease and postrelease. [source] Malpractice litigation and medical costs in the United States,HEALTH ECONOMICS, Issue 12 2009Brandon Roberts Abstract This paper examines the relationship of medical malpractice litigation and medical costs in the United States. We relate medical malpractice settlements to medical costs for 190 metro and non-metro areas in the United States over a 5-year period and find that litigation is positively and significantly related to medical costs. Using a panel data set and a fixed-effects specification, the estimates indicate that malpractice litigation accounts for roughly 2,10% of medical expenditures, with the impact exceeding the dollar amount of settlements. Copyright © 2009 John Wiley & Sons, Ltd. [source] Distinguishing between heterogeneity and inefficiency: stochastic frontier analysis of the World Health Organization's panel data on national health care systemsHEALTH ECONOMICS, Issue 10 2004William Greene Abstract The most commonly used approaches to parametric (stochastic frontier) analysis of efficiency in panel data, notably the fixed and random effects models, fail to distinguish between cross individual heterogeneity and inefficiency. This blending of effects is particularly problematic in the World Health Organization's (WHO) panel data set on health care delivery, which is a 191 country, 5-year panel. The wide variation in cultural and economic characteristics of the worldwide sample produces a large amount of unmeasured heterogeneity in the data. This study examines several alternative approaches to stochastic frontier analysis with panel data, and applies some of them to the WHO data. A more general, flexible model and several measured indicators of cross country heterogeneity are added to the analysis done by previous researchers. Results suggest that there is considerable heterogeneity that has masqueraded as inefficiency in other studies using the same data. Copyright © 2004 John Wiley & Sons, Ltd. [source] Wage policy in the health care sector: a panel data analysis of nurses' labour supplyHEALTH ECONOMICS, Issue 9 2003Jan Erik Askildsen Abstract Shortage of nurses is a problem in several countries. It is an unsettled question whether increasing wages constitute a viable policy for extracting more labour supply from nurses. In this paper we use a unique matched panel data set of Norwegian nurses covering the period 1993,1998 to estimate wage elasticities. The data set includes detailed information on 19 638 individuals over 6 years totalling 69 122 observations. The estimated wage elasticity after controlling for individual heterogeneity, sample selection and instrumenting for possible endogeneity is 0.21. Individual and institutional features are statistically significant and important for working hours. Contractual arrangements as represented by shift work are also important for hours of work, and omitting information about this common phenomenon will underestimate the wage effect. Copyright © 2003 John Wiley & Sons, Ltd. [source] Rational addiction to alcohol: panel data analysis of liquor consumptionHEALTH ECONOMICS, Issue 6 2002Badi H. Baltagi Abstract Utilizing a panel data set of 42 states over the period 1959,1994, this paper estimates a rational addiction model for liquor consumption for the US. The empirical evidence is consistent with the rational addiction hypothesis proposed by Becker and Murphy. However, the results are sensitive to the assumption of homogeneity across states or over time. Copyright © 2002 John Wiley & Sons, Ltd. [source] Equilibrium Search with Continuous Productivity Dispersion: Theory and Nonparametric EstimationINTERNATIONAL ECONOMIC REVIEW, Issue 2 2000Christian Bontemps In this article we develop an equilibrium search model with a continuous distribution of firm productivity types within a given labor market. We characterize equilibrium, derive expressions for the endogenous equilibrium wage distributions, and characterize the set of wage distributions that can be generated by the model. We develop a structural nonparametric estimation method for the productivity distribution. We estimate the model using French longitudinal survey data on labor supply, and we compare the results with those from a French panel data set of firms. The results are informative on the degree to which firms exploit search frictions. [source] Semiparametric Bayesian inference for dynamic Tobit panel data models with unobserved heterogeneityJOURNAL OF APPLIED ECONOMETRICS, Issue 6 2008Tong Li This paper develops semiparametric Bayesian methods for inference of dynamic Tobit panel data models. Our approach requires that the conditional mean dependence of the unobserved heterogeneity on the initial conditions and the strictly exogenous variables be specified. Important quantities of economic interest such as the average partial effect and average transition probabilities can be readily obtained as a by-product of the Markov chain Monte Carlo run. We apply our method to study female labor supply using a panel data set from the National Longitudinal Survey of Youth 1979. Copyright © 2008 John Wiley & Sons, Ltd. [source] The Evolving Food Chain: Competitive Effects of Wal-Mart's Entry into the Supermarket IndustryJOURNAL OF ECONOMICS & MANAGEMENT STRATEGY, Issue 4 2009Emek Basker We analyze the effect of Wal-Mart's entry into the grocery market using a unique store-level price panel data set. We use ordinary least squares and two instrumental-variables specifications to estimate the effect of Wal-Mart's entry on competitors' prices of 24 grocery items across several categories. Wal-Mart's price advantage over competitors for these products averages approximately 10%. On average, competitors' response to entry by a Wal-Mart Supercenter is a price reduction of 1,1.2%, mostly due to smaller-scale competitors; the response of the "Big Three" supermarket chains (Albertson's, Safeway, and Kroger) is less than half that size. Low-end grocery stores, which compete more directly with Wal-Mart, cut their prices more than twice as much as higher-end stores. We confirm our results using a falsification exercise, in which we test for Wal-Mart's effect on prices of services that it does not provide, such as movie tickets and dry-cleaning services. [source] Profitability differences between MNE subsidiaries and domestic firms: The case of the food industry in GreeceAGRIBUSINESS : AN INTERNATIONAL JOURNAL, Issue 1 2004George Anastassopoulos This report analyzes determinants of profitability differences between subsidiaries of Multinational Enterprises (MNEs) and Domestic Enterprises (DMEs) in the Greek food industry using company level data. Previous studies have tested the hypothesis that ownership-specific advantages are a major determinant of performance differences. This study analyzes the processed food sector (SIC = 20), using a panel data set for 75 firms and 5 years. The model is evaluated using a random effects model. The results indicate that the determinants of profitability differ between MNEs subsidiaries and DMEs. MNEs' profitability depends on their market share, knowledge, and experience of the local market; training intensity; and product differentiation through the use of technological inputs from abroad and local advertising. DMEs' profitability depends on their market share and product differentiation, through local advertising and local R&D. Size has a negative effect on profitability for both groups of companies. Even after allowing for all of these determinants of profitability, ownership has an independent effect on profitability (namely higher for MNE subsidiaries than DMEs). [EconLit citations: F23, L66, L69]. © 2004 Wiley Periodicals, Inc. Agribusiness 20: 45,60, 2004. [source] Growth dynamics of dairy processing firms in the European UnionAGRICULTURAL ECONOMICS, Issue 3-4 2010Cornelis Gardebroek EU dairy processing industry; Dynamic panel data; Firm growth Abstract The structure of the dairy processing industry in the European Union has changed enormously in recent decades. In many countries, the industry is characterized by a few large companies with a big market share accompanied by many small processors that often produce for niche markets. This article investigates which factors relate to growth of dairy processing firms. Using a unique 10-year panel data set and recently developed dynamic panel data estimators, the growth process of dairy processors is investigated for six rather diverse European countries. The data structure and the estimation method allow for dealing with endogeneity issues in an appropriate way. Firm size growth measured in total assets is found to be affected by firm size, firm age, and financial variables. Growth in number of employees is only affected by firm age and lagged labor productivity. Implications for these results are given in the final section of the article. [source] The Green Revolution, development of labor markets, and poverty reduction in the rural Philippines, 1985,2004AGRICULTURAL ECONOMICS, Issue 2006Jonna P. Estudillo Poverty; Landlessness; Green Revolution; Investments in schooling Abstract Using a long-term household panel data set collected in three rural villages in the Philippines in 1985 and 2004, this article explores how the Green Revolution and development of the labor markets have affected household income and poverty situation. The initial rise in income associated with the Green Revolution and a stronger credit access has enabled the households to allocate funds for investing in children's schooling. With the increased integration of the rural with the urban labor market, these children are able to explore labor opportunities in the nonfarm sector that resulted in a decline in poverty by about one-half. The landless households, who are less educated, benefited, too, from the expansion of the nonfarm labor market, because of the rise in rural wages associated with the rise in demand for the unskilled labor, which is by far their most important asset. [source] The labour market and household income inequality in South Africa: existing evidence and new panel dataJOURNAL OF INTERNATIONAL DEVELOPMENT, Issue 6 2001Murray Leibbrandt South Africa's very high Gini coefficient has always served as the starkest indicator of the country's extreme inequality. The racial legacy has always been highlighted in explaining this inequality. This paper presents evidence that between race contributions to inequality have declined from the early 1970s to the mid 1990s. However, they are still considerably higher than comparative international figures. The racially rigged labour market has always been assumed to operate as the key force underlying these changing inequality patterns and the paper presents findings for more formal decompositions of the linkage between the labour market and household inequality. This work confirms the dominance of the labour market in driving total South African, African and even KwaZulu-Natal inequality. However, the contribution of wage income is uneven across these different levels of aggregation and across time; suggesting complex patterns of inequality generation. The following lengthy section of the paper uses a panel data set to measure and explain the mobility patterns of a sample of African households in Kwazulu-Natal. It is found that there was less income mobility at the top and the bottom of the distribution than in the middle and overall there was an increase in income differentiation. Simple mobility profiling and more complex modelling confirm the importance of labour market changes in influencing movement of real adult equivalent income of households as well as mobility across deciles, across poverty lines. Demographic changes are also seen to be very important. The paper concludes with a summary and some suggestions for further work. Copyright © 2001 John Wiley & Sons, Ltd. [source] Status versus growth: The distributional effects of school accountability policiesJOURNAL OF POLICY ANALYSIS AND MANAGEMENT, Issue 3 2010Helen F. Ladd Although the federal No Child Left Behind program judges the effectiveness of schools based on their students' achievement status, many policy analysts argue that schools should be measured, instead, by their students' achievement growth. Using a 10-year student-level panel data set from North Carolina, we examine how school-specific pressure associated with status and growth approaches to school accountability affect student achievement at different points in the prior-year achievement distribution. Achievement gains for students below the proficiency cut point emerge in schools failing either type of accountability standard, with the effects clearer for math than for reading. In contrast to prior research highlighting the possibility of educational triage, we find little or no evidence that failing schools in North Carolina ignore the students far below proficiency under either approach. Importantly, we find that the status, but not the growth, approach reduces the reading achievement of higher performing students. Our analysis suggests that the distributional effects of accountability pressure depend not only on the type of pressure for which schools are held accountable (status or growth), but also the tested subject. © 2010 by the Association for Public Policy Analysis and Management. [source] TheConvergence of the Italian Regions and Unemployment: Theory and EvidenceJOURNAL OF REGIONAL SCIENCE, Issue 3 2002Gaetano Carmeci We explore the links between the halt of the convergence process of Italian regions at the beginning of the 1970s and the increase in regional unemployment dispersion. We consider a neoclassical exogenous growth model with an imperfect labor market and show that during the transitional dynamics the imperfections of the labor market negatively influence the output growth rate. In particular, the model implies that centralized bargaining is likely to set a national minimum wage that is too high with respect to the labor productivity of the less developed regions, resulting in a negative impact on their per capita output growth. We test the implications of the model on a regional panel data set using the GMM framework. Both our market distortion measure and the unemployment rate are found to significantly lower the growth rate of per capita output. [source] Using Excise Taxes to Finance State Government: Do Neighboring State Taxation Policy and Cross-Border Markets Matter?JOURNAL OF REGIONAL SCIENCE, Issue 4 2002Michael A. Nelson In this paper the excise tax policy of U.S. state governments is analyzed with special attention to how this policy is influenced by the level of excise taxation in neighboring states, "border-tax effects," and the relative size of the market located across state boundaries. Using a panel data set, state policies towards the taxation of cigarettes, all alcoholic beverages, beer, distilled liquor, motor fuel, and insurance are investigated within the context of a vote-maximizing model of collective decision making. The role of the industry in that state whose goods and services are singled out for special taxation is also examined. [source] Finance and Firm Export in ChinaKYKLOS INTERNATIONAL REVIEW OF SOCIAL SCIENCES, Issue 1 2007Jun Du SUMMARY Using a rich panel data set, we provide a rigorous analysis of the relationship between access to external finance, foreign direct investment and the exports of private enterprises in China. We conclude that, in order to foster the exports of indigenous enterprises, the elimination of financial discrimination against private firms is likely to be a more effective policy tool than the reliance on spillovers from multinational firms. [source] Child Growth in the Time of DroughtOXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 4 2001John Hoddinott This paper examines the impact of rainfall shocks on a measure of child health, growth in height, drawing on a unique household panel data set from rural Zimbabwe. We find that children aged 12 to 24 months lose 1.5-2 cm of growth in the aftermath of a drought. Catch-up growth in these children is limited so that this growth faltering has a permanent effect. By contrast, there is no evidence that older children experience a slowdown in growth. There is some evidence that the loss in growth is unequally distributed with children residing in poorer households and offspring of women who are daughters of the household head appearing to be especially vulnerable. [source] State Saving Behavior: Effects of Two Fiscal and Budgetary InstitutionsPUBLIC BUDGETING AND FINANCE, Issue 3 2008YILIN HOU This paper explores how state saving behavior is affected by two fiscal/budgetary institutions,budget stabilization funds (BSF) and balanced budget requirements (BBR). While adopted for different reasons, BSF and BBR could have significant effects on state savings behavior depending on their design features. We empirically examine the effects of BSF and BBR using a panel data set that covers three business cycles, controlling for budgetary institutions, state economy, social services, politics, and business cycles. The paper finds that adopting BSF and BBR can raise savings by 2 and 3 percentage points, respectively; however, the effects depend crucially on the devices' design. [source] Constitutional Tax and Expenditure Limitation in Colorado: The Impact on Municipal GovernmentsPUBLIC BUDGETING AND FINANCE, Issue 3 2000Tom Rown Tax and expenditure limitations (TELs) have become a pervasive influence on local government fiscal affairs. Explanations for the spread of TELs suggest that voters thought local government was growing more than needed. Thus, TELs were intended to constrain growth and reduce the size of local governments. This article's purpose was to determine the impact of two separate kinds of TELs, one a property tax measure, and the other a comprehensive revenue and expenditure limit, upon the growth of municipal governments in Colorado. Using a panel data set on municipal budgets (1975,1996), the article demonstrates three major points: 1) the effectiveness of a TEL in achieving reductions in local government revenue and spending growth depends upon the nature of the TEL; 2) the comprehensive TEL did effectively constrain growth and reduce local government reliance on the property tax, despite the local options for exemption; and 3) TELs do not have uniform impacts among governments of different population. [source] Gentrification Trends in New Transit-Oriented Communities: Evidence from 14 Cities That Expanded and Built Rail Transit SystemsREAL ESTATE ECONOMICS, Issue 2 2007Matthew E. Kahn Over 25 billion dollars were spent between 1970 and 2000 in 14 major cities in the United States on the construction of new rail transit lines. This massive investment in rail transit construction and expansion allows me to study the consequences of local public goods improvements for communities nearby new stations. This article uses a 14-city census tract,level panel data set covering the years 1970 to 2000 to document significant heterogeneity in the effects of rail transit expansions across the 14 cities. Communities receiving increased access to new "Walk and Ride" stations experience greater gentrification than communities that are now close to new "Park and Ride" stations. [source] Uncertainty and Investment: Some Evidence from the Panel Data of Japanese Manufacturing FirmsTHE JAPANESE ECONOMIC REVIEW, Issue 2 2000Kazuo Ogawa We analyse empirically the effect of uncertainty on fixed investment based on a panel data set of Japanese manufacturing firms. The uncertainty measure, represented by the conditional standard deviation of the sales growth rate, is constructed by employing three different statistical models. We also decompose the demand uncertainty into aggregate, industry-wide, and firm-specific forms of uncertainty. We find that uncertainty, in particular aggregate and industry-wide uncertainty, exerts a significantly negative effect on investment irrespective of the statistical methods chosen. We also find that this negative relationship between investment and uncertainty is closely related to the degree of irreversibility of capital. JEL Classification Number: D92. [source] ON NETWORK COMPETITION AND THE SOLOW PARADOX: EVIDENCE FROM US BANKSTHE MANCHESTER SCHOOL, Issue 2008SUSHANTA K. MALLICK In this paper we develop a model to examine the effect of information technology (IT) in the banking industry. IT can reduce operational cost and create network externality. Empirical studies, however, have shown inconsistency, the so-called Solow paradox, which we explain by stressing the heterogeneity in banking services. In a differentiated model, we characterize the conditions to identify these two effects and explain how the two seemingly positive effects turn negative. Using a panel data set of 68 US banks over 1986,2005, our results show that the profitability effect of IT spending is negative, reflecting a negative network competition effect in the banking industry. [source] Fiscal Incentives, European Integration and the Location of Foreign Direct InvestmentTHE MANCHESTER SCHOOL, Issue 3 2002Florence Hubert Foreign direct investment in the European Economic Area (EEA) has grown rapidly in recent years. This paper tests for structural change in the geographical and industrial pattern of foreign direct investment in Europe using a panel data set on outward investment by German companies in the EEA since 1980. There is evidence of significant structural change since 1990, with nearly all locations and industries seeing a higher level of cross,border investment than might have been expected. We also investigate the scope for national governments to affect location choice through the use of fiscal instruments such as corporation taxes, investment in infrastructure and other forms of development grants and subsidies. The findings are mixed. Some measures, such as tax competitiveness, appear important but are sensitive to the specification of the model. However, the level of government fixed investment expenditure relative to that in other economies is found to have a significant positive impact, particularly in locations with less need for EU structural funds. Although the direct marginal impact appears relatively small, an additional finding of significant agglomeration forces suggests that fiscal policies could still have a permanent influence on the location of economic activities. [source] PUBLIC PROGRAMS PARE POVERTY: EVIDENCE FROM CHILEBULLETIN OF ECONOMIC RESEARCH, Issue 3 2009David Glick H51; H52; O12 ABSTRACT This study examines the effect of government health care and education programs on the poor in Chile from 2000 to 2006. Results are obtained from a country-wide provincial-level panel data set with information on poverty and indigence head-count ratios, measures on the severity of poverty as captured by the Foster,Greer,Thorbecke P2 statistic, per capita public expenditures on health and education, as well as other variables that are thought to influence well-being. We use fixed-effects techniques to correct for time-invariant province-specific characteristics that may affect program placement. Our analysis demonstrates that per capita public health and education expenditures significantly reduce the incidence of poverty and indigence in Chile. In particular, for a 10,000 pesos (about $23) increase in provincial per capita health spending, the poverty head-count ratio decreases by 0.48 percent. Per capita education expenditures are particularly important to reducing the severity of poverty. Our results indicate that for a 10,000 pesos increase in education spending, the severity of poverty declines by as much as 1.53 percent. Furthermore, we provide evidence that public spending in Chile is non-random. In particular, government education expenditures may be allocated in keeping with compensatory motives. [source] Technical Efficiency, Technological Change and Output Growth of Wheat Farms in SaskatchewanCANADIAN JOURNAL OF AGRICULTURAL ECONOMICS, Issue 2 2001Konstantinos Giannakas This paper utilizes recent advances in stochastic decomposition methodology to examine the level and the driving forces of technical efficiency for an unbalanced panel data set of 100 wheat farms in Saskatchewan during the period 1987,95. The contributions of resource use and total factor productivity to the output growth of these farms are also investigated. The analysis indicates moderate levels of technical efficiency and a considerable variation of efficiency ratings among Saskatchewan farms. The ownership status, composition of labor employed, participation in crop insurance and government income transfer programs, participation in Top Management Workshops, degree of specialization, level of intensification and mechanization of production, type of land used, and the farm debts account for differences in efficiency across wheat farms. Even though the productive efficiency of the farms has been increasing over time, the results show that technological progress was the main source of productivity and output growth during the study period. L'analyse que voici fait appel aux plus récentes améliorations apportées à la méthode de décomposition stochastique pour déterminer le degré d'efficacité technique et les motivations d'ungroupe non pondéré de 100 producteurs de blé de la Saskatchewan entre 1987 et 1995. Les auteurs ont aussi déterminé dans quelle mesure l'exploitation des ressources et la productivité totale des facteurs affectent la croissance de la production dans les exploitations concernées. L'analyse révéle un degré moyen d'efficacité technique et une variation considérable du rendement chez les agriculteurs de la Saskatchewan. La variation du rendement s'explique par divers facteurs comme le type de propriété, la composition de la main-d',uvre, l'inscription aux programmes gouvernementaux d'assurance récolte et de transfert du revenu, la participation à des ateliers de gestion, le degré de spécialisation, le niveau d'industrialisation et de mécanisation de la production, le genre de terres cultivées et la dette de l'exploitant. Même si la productivité des fermes a augmenté au fil des ans, les résultats indiquent que le progrés de la technologie demeure la principale source d'une croissance du rendement et de la production durant la période à l'étude. [source] Disability, capacity for work and the business cycle: an international perspectiveECONOMIC POLICY, Issue 63 2010Hugo Benítez-Silva Summary Important policy issues arise from the high and growing number of people claiming disability benefits for reasons of incapacity for work in OECD countries. Economic conditions play an important part in explaining both the stock of disability benefit claimants and inflows to and outflows from that stock. Employing a variety of cross-country and country-specific household panel data sets, as well as administrative data, we find strong evidence that local variations in unemployment have an important explanatory role for disability benefit receipt, with higher total enrolments, lower outflows from rolls and, often, higher inflows into disability rolls in regions and periods of above-average unemployment. In understanding the nature of the cyclical fluctuations and trends in disability it is important to distinguish between work disability and health disability. The former is likely to be influenced by economic conditions and welfare programmes while the latter evolves in a slower fashion with medical technology and demographic changes. There is little evidence of health disability being related to the business cycle, so cyclical variations are driven by work disability. The rise in unemployment due to the current global economic crisis is expected to increase the number of disability insurance claimants. --- Hugo Benítez-Silva, Richard Disney and Sergi Jiménez-Martín [source] Kontrolliert und repräsentativ: Beispiele zur Komplementarität von Labor- und FelddatenPERSPEKTIVEN DER WIRTSCHAFTSPOLITIK, Issue 2009Armin Falk Experiments offer highly controlled environments that allow precise testing and causal inferences. Survey and field data on the other hand provide information on large and representative samples of people interacting in their natural environment. We discuss several concrete examples how to combine lab and field data and how to exploit potential complementarities. One example describes an experiment, which is run with a representative sample to guarantee control and representativeness. The second example is based on the idea to experimentally validate survey instruments to ensure behavioral validity of instruments that can be used in existing panel data sets. The third example describes the possibility to use the lab to identify causal effects, which are tested in large data sets. Topics discussed in this article comprise the relation of cognitive skills (IQ) and risk and time preferences, determinants, prevalence and economic consequences of risk attitudes, selection into incentive schemes and the impact of unfair pay on stress. [source] DOES SENDING FARMERS BACK TO SCHOOL HAVE AN IMPACT?THE DEVELOPING ECONOMIES, Issue 2 2008REVISITING THE ISSUE Q12; C59; O13 The Farmer Field School (FFS) is an intensive training program providing farmers with science-based knowledge and practices, including integrated pest management. Recently there has been intensive debate as to whether or not this kind of training has any significant impact. Most case studies argue that the impact, in terms of a farmer's ability to reduce the use of pesticides while increasing yields, is significant. However, panel data studies using household panel data sets for Indonesia have not been able to confirm that this is the case. The present paper uses panel data available from previous panel data studies and applies a new model specification to reevaluate whether or not the FFS induces better performances among farmers enrolled in the program and also among their neighbors, who are expected to receive some spillover knowledge from the FFS alumna. [source] Non-parametric regression with a latent time seriesTHE ECONOMETRICS JOURNAL, Issue 2 2009Oliver Linton Summary, In this paper we investigate a class of semi-parametric models for panel data sets where the cross-section and time dimensions are large. Our model contains a latent time series that is to be estimated and perhaps forecasted along with a non-parametric covariate effect. Our model is motivated by the need to be flexible with regard to the functional form of covariate effects but also the need to be practical with regard to forecasting of time series effects. We propose estimation procedures based on local linear kernel smoothing; our estimators are all explicitly given. We establish the pointwise consistency and asymptotic normality of our estimators. We also show that the effects of estimating the latent time series can be ignored in certain cases. [source] | ||||||||||||||||||||||||||||