Testing a linear dynamic panel data model against nonlinear alternatives
DOI10.1016/j.jeconom.2013.08.013zbMath1293.62195MaRDI QIDQ2512605
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
martingale; conditional heteroskedasticity; linearity; specification testing; dynamic panel data model; degenerate \(U\)-statistics; generalized spectral derivative; joint limit asymptotics
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
91B82: Statistical methods; economic indices and measures
62M07: Non-Markovian processes: hypothesis testing
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