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

A-Tier
Journal: Journal of Econometrics
Year: 2014
Volume: 178
Issue: P1
Pages: 167-179

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose a consistent test for a linear functional form against a nonparametric alternative in a fixed effects panel data model. We show that the test has a limiting standard normal distribution under the null hypothesis, and show that the test is a consistent test. We also establish the asymptotic validity of a bootstrap procedure which is used to better approximate the finite sample null distribution of the test statistic. Simulation results show that the proposed test performs well for panel data with a large number of cross-sectional units and a finite number of observations across time.

Technical Details

RePEc Handle
repec:eee:econom:v:178:y:2014:i:p1:p:167-179
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25