| This work discusses various aspects of panel data estimation. In chapter one, an algorithm for semiparametric random effects estimation is proposed. The performance of bootstrap-based confidence intervals for the proposed estimators are examined and found reasonable. The algorithm is also applied to a set of U.S. state level medical expenditure data to estimate the medical Engel curve. In the second chapter, the predictive performance of various parametric and semiparametric panel data estimators is compared on the same dataset of U.S. state level medical expenditures as well as out of sample forecast performance and bootstrap bias-corrected mean square errors of the competing estimators are evaluated. In general, the estimator discussed in the first chapter is found to perform well. In the third chapter a generalized method of moments estimator is investigated under various norms. |
