Nonparametric estimation of fixed effects panel data models

In this paper, we consider the problem of estimating a nonparametric panel data models with fixed effects. We propose using the profile least-squares method to concentrate out the fixed effects and then estimate the unknown function by the kernel method. We show that our proposed estimator is consistent and has an asymptotically normal distribution. Monte Carlo simulations show that our proposed estimator performs well compared with several existing estimators.