A consistent nonparametric test of parametric regression functional form in fixed effects panel data models. (English) Zbl 1293.62196

Summary: 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.


62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G10 Nonparametric hypothesis testing
62G20 Asymptotic properties of nonparametric inference
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