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

作者：Lin Zhongjian; Li Qi^*; Sun Yiguo

来源：Journal of Econometrics, 2014, 178: 167-179.

DOI：10.1016/j.jeconom.2013.08.014

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

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.

• 出版日期2014-1
• 单位首都经济贸易大学