Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects

Testing for Common Trends in Semiparametric 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, Y., SU, Liangjun, PHILLIPS, Peter Charles Bonest
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
Subjects:
Common trends
Local polynomial estimation
Non-parametric goodness-of-fit
Panel data
Profile least squares
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1431
http://onlinelibrary.wiley.com/doi/10.1111/j.1368-423X.2011.00361.x/abstract
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1431
http://onlinelibrary.wiley.com/doi/10.1111/j.1368-423X.2011.00361.x/abstract

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