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

Journal of Econometrics

Volumn 178, Issue PART 1, 2014, Pages 167-179

  Lin, Zhongjian ^a   Li, Qi ^a,b   Sun, Yiguo ^c  

^a TEXAS A AND M UNIVERSITY   (United States)

^b CAPITAL UNIVERSITY OF ECONOMICS AND BUSINESS   (China)

^c UNIVERSITY OF GUELPH   (Canada)

Author keywords

Bootstrap; Consistent test; Fixed effects; Nonparametric estimation; Panel data

Indexed keywords

MODELS; NORMAL DISTRIBUTION; SAMPLING;

BOOTSTRAP; FIXED EFFECTS; NON-PARAMETRIC ALTERNATIVES; NON-PARAMETRIC ESTIMATIONS; NON-PARAMETRIC TEST; PANEL DATA; PARAMETRIC REGRESSION; STANDARD NORMAL DISTRIBUTIONS;

STATISTICAL TESTS;

EID: 84889634974     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.08.014     Document Type: Article

References (29)

1. M. Arellano Panel Data Econometrics 2003 Oxford University Press New York, NY
2. B. Baltagi Econometrics Analysis of Panel Data second ed. 2005 Wiley New York, NY
3. R.N. Bhattacharya, and R.R. Rao Normal Approximations and Asymptotic Expansions 1986 Krieger
4. H.J. Bierens, and W. Ploberger Asymptotic theory of integrated conditional moment tests Econometrica 65 1997 1129 1151
5. X. Chen, and Y. Fan Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series Journal of Econometrics 91 1999 373 401
6. P. de Jong A central limit theorem for generalized quadratic forms Probability Theory and Related Fields 75 1987 261 277
7. G. Ellison, and S.F. Ellison A simple framework for nonparametric specification testing Journal of Econometrics 96 2000 1 23
8. Y. Fan, and Q. Li Consistent model specification tests: omitted variables and semiparametric functional forms Econometrica 64 1996 865 890
9. Y. Fan, and Q. Li Central limit theorem for degenerate U-statistics of absolutely regular processes with application to model specification test Journal of Nonparametric Statistics 11 1999 251 269
10. J. Gao, M. King, Z. Lu, and D. Tjøstheim Nonparametric specification testing for nonlinear time series with non-stationarity Econometric Theory 25 2009 1869 1892
11. P. Hall Central limit theorem for integrated square error of multivariate nonparametric density estimators The Annals of Statistics 14 1984 1 16
12. W. Härdle, and E. Mammen Comparing nonparametric versus parametric regression fits The Annals of Statistics 21 1993 1926 1947
13. D.J. Henderson, R.J. Carroll, and Q. Li Nonparametric estimation and testing of fixed effects panel data models Journal of Econometrics 144 2008 257 275
14. Y. Hong, and H. White Consistent specification testing via nonparametric series regression Econometrica 63 1995 1133 1159
15. J.L. Horowitz, and V.G. Spokoiny An adaptive, rate-optimal test of a parametric mean-regression model against a nonparametric alternative Econometrica 69 2001 599 631
16. C. Hsiao Analysis of Panel Data second ed. 2003 Cambridge University Press New York, NY
17. Q. Li Consistent model specification tests for time series econometric models Journal of Econometrics 92 1999 101 147
18. D. Li, and Q. Li Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters Journal of Econometrics 157 2010 179 190
19. Q. Li, and S. Wang A simple consistent bootstrap test for a parametric regression function Journal of Econometrics 87 1998 145 165
20. E. Mammen, B. Støve, and D. Tjøstheim Nonparametric additive models for panels of time series Econometric Theory 25 2009 442 481
21. D.J. Poirier Intermediate Statistics and Econometrics: A Comparative Approach 1995 The MIT Press Cambridge, MA
22. J.L. Powell, J.H. Stock, and T.M. Stoker Semiparametric estimation of index coefficients Econometrica 57 1989 1403 1430
23. T. Stengos, and Y. Sun Consistent model specification test for a regression function based on nonparametric wavelet estimation Econometric Reviews 20 2001 41 60
24. L. Su, and A. Ullah Profile likelihood estimation of partially linear panel data models with fixed effects Economics Letters 92 2006 75 81
25. Sun, Y.; Cai, Z.; Li, Q.; 2009a. Consistent nonparametric test on parametric smooth coefficient model with nonstationary data. Unpublished Manuscript.
26. Y. Sun, R.J. Carroll, and D. Li Semiparametric estimation of fixed effects panel data varying coefficient models Advances in Econometrics 24 2009 101 130
27. Y. Whang Consistent bootstrap tests of parametric regression functions Journal of Econometrics 98 2000 27 46
28. A.J. Yatchew Nonparametric regression tests based on least squares Econometric Theory 8 1992 435 451
29. J.X. Zheng A Consistent test of functional form via nonparametric estimation techniques Journal of Econometrics 75 1996 263 289