Nonparametric Tests for Poolability in Panel Data Models with Cross Section Dependence

• Main Authors: JIN, Sainan, SU, Liangjun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: Common factor; Cross-section dependence; Poolability; Semiparametric panel data model; Sieve estimation; Test; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1258; https://ink.library.smu.edu.sg/context/soe_research/article/2257/viewcontent/poolability20100810.pdf
• Institution: Singapore Management University

In this paper we propose a nonparametric test for poolability in large dimensional semiparametric panel data models with cross-section dependence based on the sieve estimation technique. To construct the test statistic, we only need to estimate the model under the alternative. We establish the asymp...