Publication Type
Journal Article
Version
submittedVersion
Publication Date
5-2013
Abstract
In this article we propose a nonparametric test for poolability in large dimensional semiparametric panel data models with cross-section dependence based on the sieve estimation technique. To construct the test statistic, we only need to estimate the model under the alternative. We establish the asymptotic normal distributions of our test statistic under the null hypothesis of poolability and a sequence of local alternatives, and prove the consistency of our test. We also suggest a bootstrap method as an alternative way to obtain the critical values. A small set of Monte Carlo simulations indicate the test performs reasonably well in finite samples.
Keywords
Common factor, Cross-section dependence, Poolability, Semiparametric panel data model, Sieve estimation, Test
Discipline
Econometrics
Research Areas
Econometrics
Publication
Econometric Reviews
Volume
32
Issue
4
First Page
469
Last Page
512
ISSN
0747-4938
Identifier
10.1080/07474938.2012.690669
Publisher
Taylor and Francis
Citation
JIN, Sainan and SU, Liangjun.
A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence. (2013). Econometric Reviews. 32, (4), 469-512.
Available at: https://ink.library.smu.edu.sg/soe_research/1558
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1080/07474938.2012.690669