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

• Main Authors: Zhang, Y., SU, Liangjun, PHILLIPS, Peter Charles Bonest
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2013
• 主題: Common trends; Local polynomial estimation; Non-parametric goodness-of-fit; Panel data; Profile least squares; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/1431; http://onlinelibrary.wiley.com/doi/10.1111/j.1368-423X.2011.00361.x/abstract
• 機構: 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...