Testing a linear dynamic panel data model against nonlinear alternatives

Journal of Econometrics

Volumn 178, Issue PART 1, 2014, Pages 146-166

  Lee, Yoon Jin ^a  

^a INDIANA UNIVERSITY   (United States)

Author keywords

Conditional heteroskedasticity,; Degenerate U statistics; Dynamic panel data model; Generalized spectral derivative; Joint limit asymptotics; Linearity; Martingale; Specification testing

Indexed keywords

NORMAL DISTRIBUTION; SPECIFICATIONS; TESTING; TIME SERIES;

ASYMPTOTICS; CONDITIONAL HETEROSKEDASTICITY; DYNAMIC PANEL DATA; LINEARITY; MARTINGALE; SPECIFICATION TESTING; U-STATISTICS;

MODELS;

EID: 84889678723     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.08.013     Document Type: Article

References (55)

1. J.G. Altonji Intertemporal substitution in labor supply: evidence from micro data Journal of Political Economy 94 1986 S176 S215
2. J. Alvarez, and M. Arellano The time series and cross-section asymptotics of dynamic panel data estimators Econometrica 71 2003 1121 1160
3. D.W.K. Andrews Heteroskedasticity and autocorrelation consistent covariance matrix estimation Econometrica 59 1991 817 858
4. M. Arellano Testing for autocorrelation in dynamic random effects models Review of Economic Studies 57 1990 124 134
5. M. Arellano, and S. Bond Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations The Review of Economic Studies 58 1991 277 297
6. M. Arellano Panel Data Econometrics 2003 Oxford University Press Oxford
7. J. Bai, C. Kao, and S. Ng Panel cointegration with global stochastic trends Journal of Econometrics 149 2009 82 99
8. J. Bai, and S. Ng Determine the number of factors in approximate factor models Econometrica 70 2002 191 221
9. B. Baltagi Testing for linear and loglinear error component regression against box-cox alternatives Statistics and Probability Letters 33 1997 63 68
10. B. Baltagi Specification tests in panel data models using artificial regressions Annales D' Économie et de Statistiqu 55-56 1999 277 297
11. B. Baltagi Econometric Analysis of Panel Data 2001 Wiley New York
12. Barro, R.J.; Lee, J.-W.; 2000. International data on educational attainment: updates and implications, CID Working Paper No. 42.
13. A.B. Bernard, and S.N. Durlauf Interpreting tests of the convergence hypothesis Journal of Econometrics 71 1996 161 173
14. P. Billingsley Convergence of Probability Measures 1968 Wiley New York
15. P. Billingsley Probability and Measure third ed 1995 Wiley New York
16. B.M. Brown Martingale central limit theorems Annals of Mathematical Statistics 42 1971 59 66
17. Cermeño, R.; Grier, K.B.; 2001. Modeling GARCH processes in panel data: theory, simulations and examples, Working Paper, CIDE, Mexico.
18. G. Chamberlain Comment: sequential moment restrictions in panel data Journal of Business & Economic Statistics 10 1992 20 26
19. J. Chen, J. Gao, and D. Li Semiparametric trending panel data models with cross-sectional dependence Journal of Econometrics 171 2012 71 85
20. S.N. Durlauf, and P.A. Johnson Multiple regimes and cross-country growth behavior Journal of Applied Econometrics 10 1995 365 384
21. Granger, C.W.J.; 1996. Evaluation of panel models: some suggestions from time series, Working Paper, Department of Economics, University of California, San Diego.
22. C.W.J. Granger, and T. Teräsvirta Modelling Nonlinear Economic Relationships 1993 Oxford University Press New York
23. J. Hahn, and G. Kuersteiner Asymptotically unbiased inference for a dynamic panel model with fixed effects when both n and T are large Econometrica 70 2002 1639 1658
24. D. Henderson, R.J. Carroll, and Q. Li Nonparametric estimation and testing of fixed effects panel data models Journal of Econometrics 144 2008 257 275
25. B. Hansen Threshold effects in non-dynamic panels: estimation, testing, and inference Journal of Econometrics 93 1999 345 368
26. J. Hausman Specification tests in econometrics Econometrica 46 1978 1251 1271
27. J. Hausman, and W.E. Taylor Panel data and unobservable individual effects Econometrica 49 1981 1377 1398
28. Heston, A.; Summer, R.; Aten, B.; 2002. Penn World Table Version 6.1, Center for International Comparisons of Production, Income and Prices at the University of Pennsylvania.
29. V. Hjellvik, and D. Tjøstheim Modelling panels of intercorrelated autoregression time series Biometrika 64 1999 517 522
30. D. Holtz-Eakin, W. Newey, and R. Harvey Testing for individual effects in autoregressive models Journal of Econometrics 39 1988 297 307
31. Y. Hong Hypothesis testing in time series via the empirical characteristic function: a generalized spectral density approach Journal of the American Statistical Association 84 1999 1201 1220
32. Y. Hong, and Y.-J. Lee Generalized spectral tests for conditional mean models in time series with conditional heteroskedasticity of unknown form Review of Economic Studies 72 2005 499 541
33. S. Hörmann, and P. Kokoszka Weakly dependent functional data Annals of Statistics 38 2010 1845 1884
34. J. Horowitz Bootstrap methods for Markov processes Econometrica 71 2003 1049 1082
35. C. Hsiao Analysis of Panel Data 2003 Cambridge University Press Cambridge
36. I. Islam Growth empirics: a panel data approach Quarterly Journal of Economics 110 1995 1127 1170
37. J.F. Kiviet On bias, inconsistency and efficiency of some estimators in dynamic panel data Journal of Econometrics 68 1995 53 78
38. L. Lee Consistency and efficiency of least squares estimation for mixed regressive, spatial autoregressive models Econometric Theory 18 2002 252 277
39. Lee, Y.; 2005. Nonparametric estimation of dynamic panel model, Working Paper, Michigan University.
40. M. Lee, R. Longmire, L. Mátyás, and M. Harris Growth convergence: some panel data evidence Applied Economics 30 1998 907 912
41. D. Li, J. Chen, and J. Gao Nonparametric time-varying coefficient panel data models with fixed effects Econometrics Journal 14 2011 387 408
42. Z. Liu, and T. Stegnos Non-linearities in cross-country growth regressions: a semiparametric approach Journal of Applied Econometrics 14 1999 527 538
43. T. MaCurdy An empirical model of labor supply in a life-cycle setting Journal of Political Economy 1981 1059 1085
44. T. MaCurdy Interpreting empirical models of labor supply in an intertemporal framework with uncertainty Heckman Singer Longitudinal Analysis of Labor Market Data 1985 Cambridge University Press New York
45. N.G. Mankiw, D. Romer, and D.N. Weil A contribution to the empirics of economics growth Quarterly Journal of Economics 107 1992 407 437
46. C. Meghir, and F. Windmeijer Moment conditions for dynamic panel data models with multiplicative individual effects in the conditional variance Annales D'Economie et de Statistique 55-56 1999 317 330
47. G.E. Metcalf Specification testing in panel data with instrumental variables Journal of Econometrics 71 1996 291 308
48. P.C.B. Phillipse, and H.R. Moon Linear regression limit theory for nonstationary panel data Econometrica 67 1999 1057 1111
49. M.B. Priestley Spectral Analysis and Time Series 1981 Academic Press London
50. R.H. Shumway, and D.S. Stoffer Time Series Analysis and its Applications third ed 2010 Springer
51. H.J. Skaug, and D. Tjøstheim A nonparametric test of serial independence based on the empirical distribution function Biometrika 80 1993 591 602
52. H.J. Skaug, and D. Tjøstheim Nonparametric tests of serial independence T. Subba Rao, Developments in Time Series Analysis 1993 Chapman and Hall
53. H. White Asymptotic Theory for Econometricians second ed 2001 Academic Press San Diego
54. J. Wooldridge Econometric Analysis of Cross Section and Panel Data 2002 MIT Press Cambridge, Massachusetts
55. J. Ziliak Efficient estimation with panel data when instruments are predetermined: an empirical comparison of moment-condition estimators Journal of Business and Economic Statistics 15 1997 419 431