In this paper, we consider a specification testing problem in nonlinear time series models with nonstationary regressors, and we propose using a nonparametric kernel‐based test statistic. The null asymptotics for the proposed nonparametric test statistic have been well developed in the...

This article provides a selective review on the recent developments of some nonlinear nonparametric and semiparametric panel data models. In particular, we focus on two types of modelling frameworks: nonparametric and semiparametric panel data models with deterministic trends, and semiparametric...

In this article, we study semiparametric estimation for a single-index panel data model where the nonlinear link function varies among the individuals. We propose using the refined minimum average variance estimation method to estimate the parameter in the single-index. As the cross-section...

In this paper, we propose a new diagnostic test for residual cross-section uncorrelatedness (CU) in a nonparametric panel data model. The proposed nonparametric CU test is a nonparametric counterpart of an existing parametric cross-section dependence test proposed in Pesaran (<xref>2004</xref>, Cambridge...

In this paper, we consider a specification testing problem in nonlinear time series models with nonstationary regressors and propose using a nonparametric kernel-based test statistic. The nullasymptotics for the proposed nonparametric test statistic have been well developed in the existing...

In this paper, we propose a new diagnostic test for residual cross–section independence in a nonparametric panel data model. The proposed nonparametric cross–section dependence (CD) test is a nonparametric counterpart of an existing parametric CD test proposed in Pesaren (2004) for the...

A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis and it allows for the cross-sectional dependence in both the regressors and the residuals. A pooled semiparametric profile likelihood dummy variable approach based on the...

In this paper, we study semiparametric estimation for a single-index panel data model where the nonlinear link function varies among the individuals. We propose using the refined minimum average variance estimation method to estimate the parameter in the single-index. As the cross-section...

In this paper, we consider semiparametric estimation in a partially linear single-index panel data model with fixed effects. Without taking the difference explicitly, we propose using a semiparametric minimum average variance estimation (SMAVE) based on a dummy-variable method to remove the...

A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis and it allows for the cross-sectional dependence in both the regressors and the residuals. A pooled semiparametric profile likelihood dummy variable approach based on the...