Specification Test for Panel Data Models with Interactive Fixed Effects

Specification Test for Panel Data Models with Interactive Fixed Effects

In this paper, we propose a consistent nonparametric test for linearity in a large dimensional panel data model with interactive fixed effects. Both lagged dependent variables and conditional heteroskedasticity of unknown form are allowed in the model. We estimate the model under the null hypothesis...

Full description

Saved in:
Bibliographic Details
Main Authors: SU, Liangjun, JIN, Sainan, ZHANG, Yonghui
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Common factors
Conditional strong mixing
Cross-sectional dependence
Economic growth
Interactive fixed effects
Linearity
Panel data models
Specification test
Economics
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1593
https://ink.library.smu.edu.sg/context/soe_research/article/2592/viewcontent/08_2014.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1593
https://ink.library.smu.edu.sg/context/soe_research/article/2592/viewcontent/08_2014.pdf

Similar Items