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In this paper, we propose to use a model average method to improve the estimation performance of Hsiao et al. (2012) panel data approach for program evaluation. Instead of using the two-step model selection strategy which chooses one best model according to a criterion such as AIC or AICC, we average over a set of candidate models. Simulation results show that the model average estimator exhibits...
In this paper, we consider the problem of estimating a semiparametric partially linear varying coefficient model. We derive the semiparametric efficiency bound for the asymptotic variance of the finite-dimensional parameter estimator. We also propose an efficient estimator for estimating the finite-dimensional parameter of the model. Simulation results show substantial efficiency gain of our proposed...
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