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Specification test for panel data models with interactive fixed effects

Su, Liangjun; Jin, Sainan; Zhang, Yonghui - In: Journal of Econometrics 186 (2015) 1, pp. 222-244

In this paper, we propose a consistent nonparametric test for linearity in a large dimensional panel data model with … our test performs well in finite samples. An application to an economic growth panel dataset indicates significant …

Persistent link: https://www.econbiz.de/10011209285

Semiparametric GMM estimation of spatial autoregressive models

Su, Liangjun - In: Journal of Econometrics 167 (2012) 2, pp. 543-560

We propose semiparametric GMM estimation of semiparametric spatial autoregressive (SAR) models under weak moment conditions. In comparison with the quasi-maximum-likelihood-based semiparametric estimator of Su and Jin (2010), we allow for both heteroscedasticity and spatial dependence in the...

Persistent link: https://www.econbiz.de/10011052236

Specification testing for transformation models with an application to generalized accelerated failure-time models

Lewbel, Arthur; Lu, Xun; Su, Liangjun - In: Journal of Econometrics 184 (2015) 1, pp. 81-96

This paper provides a nonparametric test of the specification of a transformation model. Specifically, we test whether an observable outcome Y is monotonic in the sum of a function of observable covariates X plus an unobservable error U. Transformation models of this form are commonly assumed in...

Persistent link: https://www.econbiz.de/10011077604

Testing conditional independence via empirical likelihood

Su, Liangjun; White, Halbert - In: Journal of Econometrics 182 (2014) 1, pp. 27-44

We construct two classes of smoothed empirical likelihood ratio tests for the conditional independence hypothesis by writing the null hypothesis as an infinite collection of conditional moment restrictions indexed by a nuisance parameter. One class is based on the CDF; another is based on smoother...

Persistent link: https://www.econbiz.de/10010785278

Government Debt and its Macroeconomic Determinants – An Empirical Investigation

Swamy, Vighneswara - Volkswirtschaftliche Fakultät, … - 2015

, political governance groupings and income groupings of countries in addition to the full sample. Panel Granger causality testing …

Persistent link: https://www.econbiz.de/10011272691

Government Debt and Economic Growth – Decomposing the Cause and Effect Relationship

Swamy, Vighneswara - Volkswirtschaftliche Fakultät, … - 2015

growth. Further, by employing panel vector auto regressions (PVAR) approach, this study decomposes the cause and effect …

Persistent link: https://www.econbiz.de/10011272700

Government Debt and Economic Growth: Estimating the Debt Thresholds and Debt Intolerance

Swamy, Vighneswara - Volkswirtschaftliche Fakultät, … - 2015

The surge of government debt during the post-global financial crisis and the ongoing euro zone sovereign debt crisis has begun raising concerns whether government debt levels have hit the tipping points. This study offers to contribute in the following ways: First, we find out whether the...

Persistent link: https://www.econbiz.de/10011262867

The Dynamics of Government Debt and Economic Growth

Swamy, Vighneswara - Volkswirtschaftliche Fakultät, … - 2015

The dynamics of government debt and economic growth, once a subject of interest mostly to very few macroeconomists is suddenly of immense attention for many researchers in the backdrop of Euro zone sovereign debt crisis and Reinhart & Rogoff’s related research. This study investigates the...

Persistent link: https://www.econbiz.de/10011262868

Sieve estimation of panel data models with cross section dependence

Su, Liangjun; Jin, Sainan - In: Journal of Econometrics 169 (2012) 1, pp. 34-47

In this paper we consider the problem of estimating semiparametric panel data models with cross section dependence …

Persistent link: https://www.econbiz.de/10010577517

Nonparametric dynamic panel data models: Kernel estimation and specification testing

Su, Liangjun; Lu, Xun - In: Journal of Econometrics 176 (2013) 2, pp. 112-133

Motivated by the first-differencing method for linear panel data models, we propose a class of iterative local … polynomial estimators for nonparametric dynamic panel data models with or without exogenous regressors. The estimators utilize … test for the correct specification of linearity in typical dynamic panel data models based on the L2 distance of our …

Persistent link: https://www.econbiz.de/10011052280