arXiv 12 Sep 2019 · Econometrics
arXiv:1909.05649 · PDF · DOI · OpenAlex · Extracted main text
This paper develops a consistent series-based specification test for semiparametric panel data models with fixed effects. The test statistic resembles the Lagrange Multiplier (LM) test statistic in parametric models and is based on a quadratic form in the restricted model residuals. The use of series methods facilitates both estimation of the null model and computation of the test statistic. The asymptotic distribution of the test statistic is standard normal, so that appropriate critical values can easily be computed. The projection property of series estimators allows me to develop a degrees of freedom correction. This correction makes it possible to account for the estimation variance and obtain refined asymptotic results. It also substantially improves the finite sample performance of the test.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Korolev, I (2019) A Consistent LM Type Specification Test for Semiparametric Models self | 1.000 | 7 | 4 | 100% |
| 2 | Baltagi, B. H. and D. Li (2002) Series Estimation of Partially Linear Panel Data Models with Fixed Effects | 0.928 | 4 | 3 | 100% |
| 3 | Donald, S. G., G. W. Imbens, and W. K. Newey (2003) Empirical likelihood estimation and consistent tests with conditional moment restrictions | 0.811 | 4 | 2 | 100% |
| 4 | Baltagi, B. H. and S. Khanti-Akom (1990) On efficient estimation with panel data: An empirical comparison of instrumental variables estimators | 0.737 | 3 | 2 | 100% |
| 5 | Cornwell, C. and P. Rupert (1988) Efficient estimation with panel data: An empirical comparison of instrumental variables estimators | 0.737 | 3 | 2 | 100% |
| 6 | An, Y., C. Hsiao, and D. Li (2016) Semiparametric Estimation of Partially Linear Varying Coefficient Panel Data Models, in | 0.644 | 2 | 2 | 100% |
| 7 | Lin, Z., Q. Li, and Y. Sun (2014) A consistent nonparametric test of parametric regression functional form in fixed effects panel data models | 0.644 | 2 | 2 | 100% |
| 8 | Ai, C. and Q. Li (2008) Semi-parametric and Non-parametric Methods in Panel Data Models, in | 0.405 | 1 | 1 | 100% |
| 9 | Arellano, M (2003) Panel data econometrics | 0.405 | 1 | 1 | 100% |
| 10 | Baltagi, B (2013) Econometric analysis of panel data | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 21 scored citations.