Non-parametric testing of discrete panel data models

DOI10.1016/0304-4076(87)90071-6MaRDI QIDQ579820zbMATH OpenOpenAlexFDO

Authors 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

Asymptotically optimal testsdiscrete panel datadiscrete timeheterogeneityheterogeneous multinomial processhomogeneous multinomial processLagrange multiplier testsMarkov chainorthogonality conditionspolychotomous response casestime-varying exogenous variables

Mathematics Subject Classification ID

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

Review text

This paper is concerned with the problem of testing (some) stochastic structures with discrete panel data in the discrete time framework. Analyzed are nonparametric tests of (some) dynamic structures with the presence of heterogeneity without imposing much functional specification restrictions: The homogeneous multinomial process, the heterogeneous multinomial process, the Markov chain and heterogeneous Markov chain. In two appendices the applied concepts and definitions of the paper are summarized. The paper is rather long and it serves partly as a survey to the topic.

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Cited in

(6)

• A nonparametric test for poolability using panel data
• Simulated maximum likelihood estimation of dynamic discrete choice statistical models. Some Monte Carlo results
• An experimental investigation of the incentives to form agricultural marketing pools
• A nonnested approach to testing continuous time models against discrete alternatives
• Testing a linear dynamic panel data model against nonlinear alternatives
• Mixed strategy play and the minimax hypothesis

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