Testing a linear dynamic panel data model against nonlinear alternatives

DOI10.1016/j.jeconom.2013.08.013zbMath1293.62195MaRDI QIDQ2512605

Yoon-Jin Lee

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

zbMATH Keywords

martingale; conditional heteroskedasticity; linearity; specification testing; dynamic panel data model; degenerate \(U\)-statistics; generalized spectral derivative; joint limit asymptotics

Mathematics Subject Classification ID

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

Related Items

A robust test for serial correlation in panel data models, Testing for Trend Specifications in Panel Data Models, Specification test for panel data models with interactive fixed effects

Uses Software

• astsa

Cites Work

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