Statistical Inference for Single-index Panel Data Models

Authors

  • Liping Zhu,

    1. Key Laboratory of Mathematical Economics (SUFE), Ministry of Education of China
    2. School of Statistics and Management, Shanghai University of Finance and Economics
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  • Jinhong You,

    Corresponding author
    1. Key Laboratory of Mathematical Economics (SUFE), Ministry of Education of China
    2. School of Statistics and Management, Shanghai University of Finance and Economics
    • Jinhong You, School of Statistics and Management, Shanghai University of Finance and Economics, 777 Guoding Road, Shanghai, China.

      E-mail: yhl13@hotmail.com

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  • Qunfang Xu

    1. School of Statistics and Management, Shanghai University of Finance and Economics
    2. School of Science, Zhejiang Agriculture and Forestry University
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Abstract

We study estimation and hypothesis testing in single-index panel data models with individual effects. Through regressing the individual effects on the covariates linearly, we convert the estimation problem in single-index panel data models to that in partially linear single-index models. The conversion is valid regardless of the individual effects being random or fixed. We propose an estimating equation approach, which has a desirable double robustness property. We show that our method is applicable in single-index panel data models with heterogeneous link functions. We further design a chi-squared test to evaluate whether the individual effects are random or fixed. We conduct simulations to demonstrate the finite sample performance of the method and conduct a data analysis to illustrate its usefulness.

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