Testing a linear dynamic panel data model against nonlinear alternatives

DOI10.1016/j.jeconom.2013.08.013zbMath1293.62195OpenAlexW2039793913MaRDI QIDQ2512605

Yoon-Jin Lee

Publication date: 7 August 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.08.013

zbMATH Keywords

martingaleconditional heteroskedasticitylinearityspecification testingdynamic panel data modeldegenerate \(U\)-statisticsgeneralized spectral derivativejoint limit asymptotics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Statistical methods; economic indices and measures (91B82) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

A robust test for serial correlation in panel data models ⋮ Testing for Trend Specifications in Panel Data Models ⋮ Specification test for panel data models with interactive fixed effects

Uses Software

• astsa

Cites Work

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