A consistent nonparametric test of parametric regression functional form in fixed effects panel data models Academic Article

abstract

• We propose a consistent test for a linear functional form against a nonparametric alternative in a fixed effects panel data model. We show that the test has a limiting standard normal distribution under the null hypothesis, and show that the test is a consistent test. We also establish the asymptotic validity of a bootstrap procedure which is used to better approximate the finite sample null distribution of the test statistic. Simulation results show that the proposed test performs well for panel data with a large number of cross-sectional units and a finite number of observations across time.

authors

• Li, Qi

published proceedings

• JOURNAL OF ECONOMETRICS

author list (cited authors)

• Lin, Z., Li, Q. i., & Sun, Y.

citation count

• 29

complete list of authors

• Lin, Zhongjian||Li, Qi||Sun, Yiguo

publication date

• January 2014

publisher

• Elsevier  Publisher

published in

• Journal of Econometrics  Journal

keywords

• Bootstrap
• Consistent Test
• Fixed Effects
• Nonparametric Estimation
• Panel Data

Digital Object Identifier (DOI)

• 10.1016/j.jeconom.2013.08.014

start page

• 167

end page

• 179

volume

• 178

issue

• PART 1

URL

• http://dx.doi.org/10.1016/j.jeconom.2013.08.014