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,...

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...

In this paper, we propose a consistent nonparametric test for linearity in a large dimensional panel data model with interactive fixed effects. Both lagged dependent variables and conditional heteroskedasticity of unknown form are allowed in the model. We estimate the model under the null...

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....

This paper proposes empirical likelihood based inference methods for causal effects identified from regression discontinuity designs. We consider both the sharp and fuzzy regression discontinuity designs and treat the regression functions as nonparametric. The proposed inference procedures do...

We propose semiparametric GMM estimation of semiparametric spatial autoregressive (SAR) models under weak moment conditions. In comparison with the quasi-maximum-likelihood-based semiparametric estimator of Su and Jin (2010), we allow for both heteroscedasticity and spatial dependence in the...

We consider the problem of detecting unobserved heterogeneity, that is, the problem of testing the absence of random individual effects in an n×T panel. We establish a local asymptotic normality property–with respect to intercept, regression coefficient, the scale parameter σ of the error,...

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 the additive structure of the first-differenced...

Many macroeconomic and financial variables show highly persistent and correlated patterns but are not necessarily cointegrated. Recently,  Sun et al. (2011) propose using a semiparametric varying coefficient approach to capture correlations between integrated but non cointegrated variables....

This paper is concerned with the use of the bootstrap for statistics in spatial econometric models, with a focus on the test statistic for Moran’s I test for spatial dependence. We show that, for many statistics in spatial econometric models, the bootstrap can be studied based on...