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Communications in Statistics - Simulation and Computation Volume 50, 2021 - Issue 8
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Original Articles

The single-index panel data models with heterogeneous link function: mixture approach

Arash NademiDepartment of Statistics, Ilam branch, Islamic Azad University, Ilam, IranCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-4514-0691
ORCID Icon
Pages 2418-2431 | Received 06 Jun 2018, Accepted 16 Apr 2019, Published online: 12 Jul 2019
 
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Abstract

This paper investigates the data generating structure which can be represented as a mixture of single-index panel data model with heterogeneous link function. The switching between the states is governed by a hidden variable. We also offer an Expectation Maximization (EM) algorithm for estimating parameters numerically. The ability of the proposed mixture model will be illustrated with both the simulated performance and the empirical applications.

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