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Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects
Sun, Yiguo; Malikov, Emir - In: Journal of econometrics 203 (2018) 2, pp. 359-378
Persistent link: https://www.econbiz.de/10011974689
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Nonparametric testing for anomaly effects in empirical asset pricing models
Jin, Sainan; Su, Liangjun; Zhang, Yonghui - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 9-36
Persistent link: https://www.econbiz.de/10011285985
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Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation
Xu, Qiuhua; Cai, Zongwu; Fang, Ying - In: Econometric reviews 40 (2021) 10, pp. 919-943
Persistent link: https://www.econbiz.de/10012624566
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A nonparametric poolability test for panel data models with cross section dependence
Jin, Sainan; Su, Liangjun - In: Econometric reviews 32 (2013) 1/4, pp. 469-512
Persistent link: https://www.econbiz.de/10009717780
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Testing error serial correlation in fixed effects nonparametric panel data models
Green, Carl; Long, Wei; Hsiao, Cheng - In: Journal of econometrics 188 (2015) 2, pp. 466-473
Persistent link: https://www.econbiz.de/10011503631
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Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
Cai, Zongwu; Fang, Ying; Xu, Qiuhua - 2020
Persistent link: https://www.econbiz.de/10012312745
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Testing identifying assumptions in nonseparable panel data models
Ghanem, Dalia - In: Journal of econometrics 197 (2017) 2, pp. 202-217
Persistent link: https://www.econbiz.de/10011818355
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Nonparametric testing for smooth structural changes in panel data models
Chen, Bin; Huang, Liquan - In: Journal of econometrics 202 (2018) 2, pp. 245-267
Persistent link: https://www.econbiz.de/10011974569
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A Consistent LM Type Specification Test for Semiparametric Panel Data Models
Korolev, Ivan - 2019
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...
Persistent link: https://www.econbiz.de/10012862375
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Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
Cai, Zongwu; Fang, Ying; Xu, Qiuhua - In: Journal of econometrics 227 (2022) 1, pp. 114-133
Persistent link: https://www.econbiz.de/10013441628