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

• 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
• Institution: Singapore Management University

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...