Series Estimation of Partially Linear Panel Data Models with
Fixed Effects

Badi H. Baltagi

and

Dong Li

This paper considers the problem of estimating a partially linear semi-parametric fixed effects panel data model with possible endogeneity. Using the series method, we establish the root N normality result for the estimator of the parametric component, and we show that the unknown function can be consistently estimated at the standard nonparametric rate.