{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,31]],"date-time":"2026-07-31T03:49:48Z","timestamp":1785469788783,"version":"3.56.0"},"reference-count":35,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2008,6,23]],"date-time":"2008-06-23T00:00:00Z","timestamp":1214179200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2008,10]]},"abstract":"<jats:p>We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data. The model assumes linearity in some continuous\/discrete variables that can be exogenous\/endogenous and allows for nonlinearity in other weakly exogenous variables. We propose a nonparametric generalized method of moments (NPGMM) procedure to estimate the functional coefficients, and we establish the consistency and asymptotic normality of the resulting estimators.<\/jats:p>","DOI":"10.1017\/s0266466608080523","type":"journal-article","created":{"date-parts":[[2008,6,23]],"date-time":"2008-06-23T10:14:37Z","timestamp":1214216077000},"page":"1321-1342","source":"Crossref","is-referenced-by-count":112,"title":["NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS"],"prefix":"10.1017","volume":"24","author":[{"given":"Zongwu","family":"Cai","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Qi","family":"Li","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2008,6,23]]},"reference":[{"key":"S0266466608080523_ref035","doi-asserted-by":"publisher","DOI":"10.1137\/1104015"},{"key":"S0266466608080523_ref034","doi-asserted-by":"crossref","first-page":"2098","DOI":"10.1214\/aop\/1041903220","article-title":"Weak convergence of weighted empirical processes of dependent sequences","volume":"24","author":"Shao","year":"1996","journal-title":"Annals of Probability"},{"key":"S0266466608080523_ref030","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01711-5"},{"key":"S0266466608080523_ref027","doi-asserted-by":"publisher","DOI":"10.1007\/s181-002-8363-1"},{"key":"S0266466608080523_ref024","doi-asserted-by":"crossref","unstructured":"Hsiao C. (2003) Analysis of Panel Data, 2nd ed. Cambridge University Press.","DOI":"10.1017\/CBO9780511754203"},{"key":"S0266466608080523_ref023","doi-asserted-by":"publisher","DOI":"10.2307\/2298119"},{"key":"S0266466608080523_ref022","doi-asserted-by":"publisher","DOI":"10.1162\/003465303772815925"},{"key":"S0266466608080523_ref021","doi-asserted-by":"crossref","first-page":"757","DOI":"10.1111\/j.2517-6161.1993.tb01939.x","article-title":"Varying-coefficient models (with discussion)","volume":"55","author":"Hastie","year":"1993","journal-title":"Journal of the Royal Statistical Society, Series B"},{"key":"S0266466608080523_ref018","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"Hamilton","year":"1994"},{"key":"S0266466608080523_ref017","volume-title":"Martingale Limit Theory and Its Applications","author":"Hall","year":"1980"},{"key":"S0266466608080523_ref015","unstructured":"Gonz\u00e1lez A. , Ter\u00e4svirta T. , & van Dijk D. (2005) Panel Smooth Transition Regression Models. Working paper, Department of Economic Statistics, Stockholm School of Economics."},{"key":"S0266466608080523_ref013","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2004.02.001"},{"key":"S0266466608080523_ref012","doi-asserted-by":"crossref","first-page":"298","DOI":"10.1080\/01621459.1993.10594322","article-title":"Functional-coefficient autoregressive models","volume":"88","author":"Chen","year":"1993","journal-title":"Journal of the American Statistical Association"},{"key":"S0266466608080523_ref011","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466602181023"},{"key":"S0266466608080523_ref010","unstructured":"Cai Z. & Xiong H. (2006) Efficient Estimation of Partially Varying-Coefficient Instrumental Variables Models. Working paper, Department of Mathematics and Statistics, University of North Carolina at Charlotte."},{"key":"S0266466608080523_ref007","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.03.014"},{"key":"S0266466608080523_ref006","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-7152(03)00042-7"},{"key":"S0266466608080523_ref005","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466602181096"},{"key":"S0266466608080523_ref004","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(02)00025-3"},{"key":"S0266466608080523_ref003","unstructured":"Baltagi B. (2005) Econometric Analysis of Panel Data, 2nd ed. Wiley."},{"key":"S0266466608080523_ref026","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2005.00160.x"},{"key":"S0266466608080523_ref033","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950070206"},{"key":"S0266466608080523_ref028","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00013-X"},{"key":"S0266466608080523_ref016","doi-asserted-by":"crossref","DOI":"10.1093\/oso\/9780198773191.001.0001","volume-title":"Modelling Nonlinear Economic Relationships","author":"Granger","year":"1993"},{"key":"S0266466608080523_ref029","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618531"},{"key":"S0266466608080523_ref032","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01644-F"},{"key":"S0266466608080523_ref008","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2000.10474284"},{"key":"S0266466608080523_ref031","doi-asserted-by":"publisher","DOI":"10.2307\/2938351"},{"key":"S0266466608080523_ref019","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00025-1"},{"key":"S0266466608080523_ref001","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00470"},{"key":"S0266466608080523_ref002","doi-asserted-by":"publisher","DOI":"10.1093\/0199245282.001.0001"},{"key":"S0266466608080523_ref014","volume-title":"Local Polynomial Modeling and Its Applications","author":"Fan","year":"1996"},{"key":"S0266466608080523_ref025","volume-title":"Independent and Stationary Sequences of Random Variables","author":"Ibragimov","year":"1971"},{"key":"S0266466608080523_ref009","unstructured":"Cai Z. & Li Q. (2005) Nonparametric Estimation of Varying Coefficient Dynamic Panel Data Models. Working paper, Department of Economics, Texas A&M University."},{"key":"S0266466608080523_ref020","doi-asserted-by":"publisher","DOI":"10.2307\/1912775"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466608080523","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,1,30]],"date-time":"2025-01-30T20:40:56Z","timestamp":1738269656000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466608080523\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2008,6,23]]},"references-count":35,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2008,10]]}},"alternative-id":["S0266466608080523"],"URL":"https:\/\/doi.org\/10.1017\/s0266466608080523","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2008,6,23]]}}}