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

• المؤلفون الرئيسيون: JIN, Sainan, SU, Liangjun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2010
• الموضوعات: Common factor; Cross-section dependence; Poolability; Semiparametric panel data model; Sieve estimation; Test; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1258; https://ink.library.smu.edu.sg/context/soe_research/article/2257/viewcontent/poolability20100810.pdf

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...