Non-parametric testing of discrete panel data models

DOI10.1016/0304-4076(87)90071-6zbMath0625.62106OpenAlexW2014403682MaRDI QIDQ579820

Lung-fei Lee

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1016/0304-4076(87)90071-6

zbMATH Keywords

heterogeneityMarkov chaindiscrete timeLagrange multiplier testsorthogonality conditionsAsymptotically optimal testsdiscrete panel dataheterogeneous multinomial processhomogeneous multinomial processpolychotomous response casestime-varying exogenous variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10)

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Cites Work

• Econometric duration analysis
• De Finetti's theorem for Markov chains
• Uses of exchangeability
• Analysis of Covariance with Qualitative Data
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
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