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摘要翻译：
本文针对半参数面板数据模型，提出了一种基于序列的一致性规范检验方法。该检验统计量类似于参数模型中的拉格朗日乘子(LM)检验统计量，并且基于约束模型残差的二次型。级数法的使用方便了零模型的估计和检验统计量的计算。试验统计量的渐近分布为标准正态分布，因此可以很容易地计算出合适的临界值。级数估计量的投影性质允许我发展一个自由度校正。这种修正使得考虑估计方差和获得精化的渐近结果成为可能。它还大大提高了测试的有限样本性能。
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英文标题：
《A Consistent LM Type Specification Test for Semiparametric Panel Data
Models》
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作者：
Ivan Korolev
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最新提交年份：
2019
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
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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PDF链接：
https://arxiv.org/pdf/1909.05649
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