Analysis of panel data partially linear single-index models with serially correlated errors

摘要

In this paper, we study a panel data partially linear single-index models (PDPLSIM) with serially correlated errors. A semiparametric minimum average variance estimation method was given to estimate both the unknown parameters and link function. The asymptotic properties of the resulting estimators are established. Then, the serially correlated error structure is investigated. Furthermore, a generalized F-type test method was proposed to check the index parameters. It is shown that under the null hypothesis the proposed test statistic follows asymptotically a chi(2)-distribution. A numerical simulation and a real data example show that the proposed methods are effective. (C) 2019 Elsevier B.V. All rights reserved.