Testing for common trends in semi-parametric panel data models with fixed effects

Testing for common trends in semi-parametric panel data models with fixed effects

This paper proposes a non-parametric test for common trends in semi-parametric panel data models with fixed effects based on a measure of non-parametric goodness-of-fit (R2). We first estimate the model under the null hypothesis of common trends by the method of profile least squares, and obtain the...

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Bibliographic Details
Main Authors: ZHANG, Yonghui, SU, Liangjun, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
Common trends
Local polynomial estimation
Nonparametric goodnessoffit
Panel data
Profile least squares
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1365
https://ink.library.smu.edu.sg/context/soe_research/article/2364/viewcontent/TestingTrendsSemi_parametricPanelData_2011_pp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1365
https://ink.library.smu.edu.sg/context/soe_research/article/2364/viewcontent/TestingTrendsSemi_parametricPanelData_2011_pp.pdf

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