The most popular econometric models in the panel data literature are the class of linear panel data models with unobserved individual- and/or time-specific effects. The consistency of parameter estimators and the validity of their economic interpretations as marginal effects depend crucially on...

Economic theories in time series contexts usually have implications on and only on the conditional mean dynamics of underlying economic variables. We propose a new class of specification tests for time series conditional mean models, where the dimension of the conditioning information set may be...