Profile Likelihood Estimation of Partially Linear Panel
Data Models with Fixed Effects∗
LIANGJUN SU
Guanghua School of Management, Peking University, lsu@gsm.pku.edu.cn
AMAN ULLAH
Department of Economics, University of California, Riverside, aman.ullah@ucr.edu
May, 2005
Abstract
We consider consistent estimation of partially linear panel data models with fixed effects. We
propose profile-likelihood-based estimators for both the parametric and nonparametric components
in the models and establish convergence rates and asymptotic normality for both estimators.
Keywords: Fixed effects, Panel data models, Partially linear models, Profile likelihood.
JEL Classification: C13, C14, C23.
Research Areas for Liangjun SU: Econometrics Theory and Applications, Nonparametric Economics,
Spatial Econometrics, Panel Data Models.
Research Areas for Aman ULLAH: Econometrics Theory and Applications, Nonparametric
Economics.