Specification Test for Panel Data Models with Interactive Fixed Effects

• 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
• Institution: Singapore Management University

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...