Nonparametric Estimation of Dynamic Panel Models with Fixed Effects, Econometric Theory

This paper considers nonparametric estimation of autoregressive panel data models with fixed effects. A within-group type series estimator is developed and its conver-gence rate and asymptotic normality are derived. It is found that the series estimator is asymptotically biased and the bias could reduce the mean-square convergence rate compared with the cross-section cases. A bias corrected nonparametric estimator is developed. 1