We propose a consistent test for a linear functional form against a nonparametric alternative in a fixed effects panel … well for panel data with a large number of cross-sectional units and a finite number of observations across time. …

autoregression parameter ρ in the panel AR(1) model with arbitrary initial conditions and possibly time-series heteroskedasticity …

We consider within-group estimation of higher-order autoregressive panel models with exogenous regressors and fixed …

not appropriate for testing cross-sectional dependence in panel data models when the number of cross-sectional units (n … panel data model. This paper derives the asymptotic bias of this scaled version of the LM test in the context of a fixed … effects homogeneous panel data model. This asymptotic bias is found to be a constant related to n and T, which suggests a …

In this paper, we investigate the problem of estimating nonparametric and semiparametric panel data models with fixed … estimators for the smooth unknown function in nonparametric panel regressions. One is a local linear estimator constructed … similar as the one in Mammen et al. (2009) which was proposed for the additive nonparametric panel model. The other is the …