A Consistent LM Type Specification Test for Semiparametric Panel Data Models
This paper develops a consistent series-based specification test for semiparametric panel data models with fixed effects. The test statistic resembles the Lagrange Multiplier (LM) test statistic in parametric models and is based on a quadratic form in the restricted model residuals. The use of series methods facilitates both estimation of the null model and computation of the test statistic. The asymptotic distribution of the test statistic is standard normal, so that appropriate critical values can easily be computed. The projection property of series estimators allows me to develop a degrees of freedom correction. This correction makes it possible to account for the estimation variance and obtain refined asymptotic results. It also substantially improves the finite sample performance of the test.
Code (0)
등록된 구현이 없습니다.
Tasks
Vocal Bursts Type PredictionSimilar Papers 제목 키워드 기반
LM-BIC Model Selection in Semiparametric Models
This paper studies model selection in semiparametric econometric models. It develops a consistent series-based model selection procedure based on a Bayesian Information Criterion (BIC) type criterion to select between se…
modelModel SelectionCanonical correlation analysis of stochastic trends via functional approximation
This paper proposes a novel canonical correlation analysis for semiparametric inference in $I(1)/I(0)$ systems via functional approximation. The approach can be applied coherently to panels of $p$ variables with a generi…
Consistent specification testing under spatial dependence
We propose a series-based nonparametric specification test for a regression function when data are spatially dependent, the `space' being of a general economic or social nature. Dependence can be parametric, parametric w…
regressionA Bootstrap Specification Test for Semiparametric Models with Generated Regressors
This paper provides a specification test for semiparametric models with nonparametrically generated regressors. Such variables are not observed by the researcher but are nonparametrically identified and estimable. Applic…
validIdentification of Semiparametric Panel Multinomial Choice Models with Infinite-Dimensional Fixed Effects
This paper proposes a robust method for semiparametric identification and estimation in panel multinomial choice models, where we allow for infinite-dimensional fixed effects that enter into consumer utilities in an addi…