Abstract

There exists enormous literature on the development of panel data models in the last five decades or so. The readers are referred to Arellano (2003), Hsiao (2003), and Baltagi (2008) for an overview of this literature. Nevertheless, these books only focus on the study of parametric panel data models which can be misspecified. Estimators from misspecified models are often inconsistent, invalidating the subsequent statistical inference. For this reason, we also observe a rapid growth of the literature on nonparametric (NP) and semi-parametric (SP) panel data models in the last 15 years. For an early review on this latter literature, the readers are referred to Ullah and Roy (1998). See also Ai and Li (2008) whose survey focuses on partially linear and limited dependent NP and SP panel data models.