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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2014
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |