NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS

We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data+ The model assumes linearity in some continuous0discrete variables that can be exogenous0endogenous 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+