Jungyoon Lee and Peter M Robinson

Published 25 November 2013

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Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specifi…c components and allows also for cross-sectional and temporal dependence and conditional heteroscedasticity. A simple nonparametric estimate is shown to be dominated by a GLS-type one. Asymptotically optimal bandwidth choices are justified for both estimates. Feasible optimal bandwidths, and feasi- ble optimal regression estimates, are asymptotically justifi…ed, with fi…nite sample performance examined in a Monte Carlo study.