Similar Search Results

Specification test for panel data models with interactive fixed effects

Su, Liangjun; Jin, Sainan; Zhang, Yonghui - In: Journal of Econometrics 186 (2015) 1, pp. 222-244

In this paper, we propose a consistent nonparametric test for linearity in a large dimensional panel data model with … our test performs well in finite samples. An application to an economic growth panel dataset indicates significant …

Persistent link: https://www.econbiz.de/10011209285

Hahn–Hausman test as a specification test

Lee, Yoonseok; Okui, Ryo - In: Journal of Econometrics 167 (2012) 1, pp. 133-139

This paper develops a modified version of the Sargan [Sargan, J.D., 1958. The estimation of economic relationships using instrumental variables. Econometrica 26 (3), 393–415] restrictions, and shows that it is numerically equivalent to the test statistic of Hahn and Hausman [Hahn, J., Hausman,...

Persistent link: https://www.econbiz.de/10010577514

Testing for separability in structural equations

Lu, Xun; White, Halbert - In: Journal of Econometrics 182 (2014) 1, pp. 14-26

Separability is an important feature of structural equations, as it implies the absence of unobservable heterogeneity of effects and has significant implications for identification and efficiency of estimation. This paper provides a nonparametric test for separability in structural equations....

Persistent link: https://www.econbiz.de/10011052303

Specification testing for transformation models with an application to generalized accelerated failure-time models

Lewbel, Arthur; Lu, Xun; Su, Liangjun - In: Journal of Econometrics 184 (2015) 1, pp. 81-96

This paper provides a nonparametric test of the specification of a transformation model. Specifically, we test whether an observable outcome Y is monotonic in the sum of a function of observable covariates X plus an unobservable error U. Transformation models of this form are commonly assumed in...

Persistent link: https://www.econbiz.de/10011077604

Nonparametric dynamic panel data models: Kernel estimation and specification testing

Su, Liangjun; Lu, Xun - In: Journal of Econometrics 176 (2013) 2, pp. 112-133

Motivated by the first-differencing method for linear panel data models, we propose a class of iterative local … polynomial estimators for nonparametric dynamic panel data models with or without exogenous regressors. The estimators utilize … test for the correct specification of linearity in typical dynamic panel data models based on the L2 distance of our …

Persistent link: https://www.econbiz.de/10011052280