Publication: Testing Constancy in Varying Coefficient Models
Loading...
Identifiers
Publication date
2019-01
Defense date
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Impact
Export
Abstract
This 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 modeling
Description
Keywords
Varying coefficient models, Model checks, U-I tests, Concomitants, Interactive effects model checks