Title: Testing common time-varying coefficients in semiparametric panel data models with fixed effects
Authors: Alev Atak - City University London (United Kingdom) [presenting]
Yonghui Zhang - Renmin University of China (China)
Abstract: A nonparametric Wald-type test is proposed for common time-varying coefficients functions in semiparametric panel data models with fixed effects. The idea is to compare the fitted homogeneous time-varying coefficients functions by a local linear dummy variable regression with the estimated heterogeneous time-varying coefficient functions panel data model by running nonparametric regression for each individuals time series observations. We show that after appropriate standardization the test statistic is asymptotically normally distributed under both the null hypothesis and a sequence of Pitman local alternatives. We prove test consistency and propose a bootstrap procedure to obtain $p$-values. Monte Carlo simulations indicate that the test performs well in finite samples.