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Testing Constancy in Varying Coefficient Models

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorDelgado, Miguel A.
dc.contributor.authorArteaga-Molina, Luis A.
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economíaes
dc.contributor.funderComunidad de Madrides
dc.contributor.funderMinisterio de Economía y Competitividad (España)es
dc.contributor.otheres
dc.date.accessioned2019-01-30T15:09:53Z
dc.date.available2019-01-30T15:09:53Z
dc.date.issued2019-01
dc.description.abstractThis article proposes tests for constancy of coefficients in semi-varying coefficients models. The testing procedure resembles in spirit the union-intersection parameter stability tests in time series, where observations are sorted according to the explanatory variable responsible for the coefficients varying. The test can be applied to model specification checks of interactive effects in linear regression models. Because test statistics are not asymptotically pivotal, critical values and p-values are estimated using a bootstrap technique. The finite sample properties of the test are investigated by means of Monte Carlo experiments, where the new proposal is compared to existing tests based on smooth estimates of the unrestricted model. We also report an application to returns of education modelingen
dc.description.sponsorshipResearch funded by Ministerio Economía y Competitividad (Spain), ECO2017-86675-P & MDM 2014-0431, and by Comunidad de Madrid (Spain), MadEco-CM S2015/HUM-3444.en
dc.format.mimetypeapplication/pdf
dc.identifier.issn2340-5031es
dc.identifier.urihttps://hdl.handle.net/10016/27981
dc.identifier.uxxiDT/0000001658es
dc.language.isoenges
dc.relation.ispartofseriesWorking papers. Economicsen
dc.relation.ispartofseries19-01es
dc.relation.projectIDGobierno de España. ECO2017-86675-Pes
dc.relation.projectIDGobierno de España. MDM 2014-0431es
dc.relation.projectIDComunidad de Madrid. S2015/HUM-3444/MadEco-CMes
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.jelC12es
dc.subject.jelC14es
dc.subject.jelC52es
dc.subject.otherVarying coefficient modelsen
dc.subject.otherModel checksen
dc.subject.otherU-I testsen
dc.subject.otherConcomitantsen
dc.subject.otherInteractive effects model checksen
dc.titleTesting Constancy in Varying Coefficient Modelsen
dc.typeworking paper*
dc.type.hasVersionAO*
dspace.entity.typePublication
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