Non-parametric testing of discrete panel data models

DOI10.1016/0304-4076(87)90071-6MaRDI QIDQ579820zbMATHOpenAlexFDO

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

Markov chainorthogonality conditionsheterogeneitydiscrete timeLagrange multiplier testsAsymptotically optimal testsdiscrete panel dataheterogeneous multinomial processhomogeneous multinomial processpolychotomous response casestime-varying exogenous variables

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(5)

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

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