Nonparametric Models with Fixed Effects

This chapter summarizes some of the latest research regarding the estimation and inference of three-dimensional nonparametric and semiparametric panel data models with fixed effects. We begin with nonparametric estimation of both the unknown function and it’s gradient and move to semiparametric estimation of varying coefficient models. Inference is discussed in a general setting with respect to the extension of a popular central limit theorem and then specific useful tests are outlined. In addition to presenting some new results, we discuss potentially interesting extensions. We end the chapter with a new empirical illustration to highlight how the methods work in practice.