Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096177 | Journal of Econometrics | 2014 | 13 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Zhongjian Lin, Qi Li, Yiguo Sun,