Working Paper

Classification of nonparametric regression functions in heterogeneous panels


Michael Vogt, Oliver Linton

Published Date

20 February 2015


Working Paper (CWP06/15)

We investigate a nonparametric panel model with heterogeneous regression functions. In a variety of applications, it is natural to impose a group structure on the regression curves. Specifically, we may suppose that the observed individuals can be grouped into a number of classes whose members all share the same regression function. We develop a statistical procedure to estimate the unknown group structure from the observed data. Moreover, we derive the asymptotic properties of the procedure and investigate its finite sample performance by means of a simulation study and a real-data example.