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Under some normalization rules, we can concentrate out the large-dimensional parameter vector of factor loadings and specify a set of conditional moment restrictions that are involved with only the finite-dimensional factor parameters along with the infinite-dimensional nonparametric component. For a conjectured restriction on the parameter, we consider testing the null hypothesis that the restriction is satisfied by at least one element in the identified set and propose a test statistic based on a novel martingale difference divergence measure for the distance between a conditional expectation object and zero. We derive a tight asymptotic distributional upper bound for the resultant test statistic under the null and show that it is divergent at rate-<jats:italic>N<\/jats:italic> under the global alternative. To obtain the critical values for our test, we propose a version of multiplier bootstrap and establish its asymptotic validity. Simulations demonstrate the finite sample properties of our inference procedure. We apply our method to study Engel curves for major nondurable expenditures in China by using a panel dataset from the China Family Panel Studies.<\/jats:p>","DOI":"10.1017\/s0266466623000403","type":"journal-article","created":{"date-parts":[[2024,1,19]],"date-time":"2024-01-19T06:29:41Z","timestamp":1705645781000},"page":"489-550","source":"Crossref","is-referenced-by-count":1,"title":["INFERENCE IN PARTIALLY IDENTIFIED PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS"],"prefix":"10.1017","volume":"41","author":[{"ORCID":"https:\/\/orcid.org\/0009-0007-6323-9253","authenticated-orcid":false,"given":"Shengjie","family":"Hong","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0565-6928","authenticated-orcid":false,"given":"Liangjun","family":"Su","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-6292-7456","authenticated-orcid":false,"given":"Yaqi","family":"Wang","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2024,1,19]]},"reference":[{"key":"S0266466623000403_r31","doi-asserted-by":"crossref","first-page":"619","DOI":"10.1257\/aer.91.3.619","article-title":"Using Engel\u2019s law to estimate CPI bias","volume":"91","author":"Hamilton","year":"2001","journal-title":"American Economic Review"},{"key":"S0266466623000403_r34","doi-asserted-by":"crossref","first-page":"19","DOI":"10.1162\/REST_a_00363","article-title":"Are household surveys like tax forms? 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