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

Lin, Zhongjian; Li, Qi; Sun, Yiguo - In: Journal of Econometrics 178 (2014) P1, pp. 167-179

test is a consistent test. We also establish the asymptotic validity of a bootstrap procedure which is used to better …

Persistent link: https://www.econbiz.de/10010730130

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 … model. We estimate the model under the null hypothesis of linearity to obtain the restricted residuals which are then used …, we propose a bootstrap procedure to obtain the bootstrap p-value. A small set of Monte Carlo simulations illustrates that …

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

Testing a linear dynamic panel data model against nonlinear alternatives

Lee, Yoon-Jin - In: Journal of Econometrics 178 (2014) P1, pp. 146-166

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...

Persistent link: https://www.econbiz.de/10010730138

Nonparametric dynamic panel data models: Kernel estimation and specification testing

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

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

Frontier estimation in the presence of measurement error with unknown variance

Kneip, Alois; Simar, Léopold; Van Keilegom, Ingrid - In: Journal of Econometrics 184 (2015) 2, pp. 379-393

Frontier estimation appears in productivity analysis. Firm’s performance is measured by the distance between its output and an optimal production frontier. Frontier estimation becomes difficult if outputs are measured with noise and most approaches rely on restrictive parametric assumptions....

Persistent link: https://www.econbiz.de/10011117412

Asymptotics for nonparametric and semiparametric fixed effects panel models

Li, Cong; Liang, Zhongwen - In: Journal of Econometrics 185 (2015) 2, pp. 420-434

In this paper, we investigate the problem of estimating nonparametric and semiparametric panel data models with fixed effects. We focus on establishing the asymptotic results for estimators using smooth backfitting methods. We consider two estimators for the smooth unknown function in...

Persistent link: https://www.econbiz.de/10011190722

Inference on stochastic time-varying coefficient models

Giraitis, L.; Kapetanios, G.; Yates, T. - In: Journal of Econometrics 179 (2014) 1, pp. 46-65

Recently, there has been considerable work on stochastic time-varying coefficient models as vehicles for modelling structural change in the macroeconomy with a focus on the estimation of the unobserved paths of random coefficient processes. The dominant estimation methods, in this context, are...

Persistent link: https://www.econbiz.de/10010738118

Adaptive nonparametric instrumental variables estimation: Empirical choice of the regularization parameter

Horowitz, Joel L. - In: Journal of Econometrics 180 (2014) 2, pp. 158-173

In nonparametric instrumental variables estimation, the mapping that identifies the function of interest, g, is discontinuous and must be regularized to permit consistent estimation. The optimal regularization parameter depends on population characteristics that are unknown in applications. This...

Persistent link: https://www.econbiz.de/10010776910

Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of Econometrics 180 (2014) 2, pp. 251-264

validity of a local smoothed bootstrap that we use in finite sample settings to compute a bootstrap bias-corrected estimator … and to perform statistical tests. A Monte Carlo simulation study reveals that the bootstrap bias-corrected estimator …

Persistent link: https://www.econbiz.de/10010776917

Quantile-based nonparametric inference for first-price auctions

Marmer, Vadim; Shneyerov, Artyom - In: Journal of Econometrics 167 (2012) 2, pp. 345-357

We propose a quantile-based nonparametric approach to inference on the probability density function (PDF) of the private values in first-price sealed-bid auctions with independent private values. Our method of inference is based on a fully nonparametric kernel-based estimator of the quantiles...

Persistent link: https://www.econbiz.de/10011052272