Testing Constancy in Varying Coefficient Models

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dc.contributor.author Delgado, Miguel A.
dc.contributor.author Arteaga-Molina, Luis A.
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned 2019-01-30T15:09:53Z
dc.date.available 2019-01-30T15:09:53Z
dc.date.issued 2019-01
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/27981
dc.description.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
dc.description.sponsorship Research funded by Ministerio Economía y Competitividad (Spain), ECO2017-86675-P & MDM 2014-0431, and by Comunidad de Madrid (Spain), MadEco-CM S2015/HUM-3444.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries Working papers. Economics
dc.relation.ispartofseries 19-01
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Varying coefficient models
dc.subject.other Model checks
dc.subject.other U-I tests
dc.subject.other Concomitants
dc.subject.other Interactive effects model checks
dc.title Testing Constancy in Varying Coefficient Models
dc.type workingPaper
dc.subject.jel C12
dc.subject.jel C14
dc.subject.jel C52
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2017-86675-P
dc.relation.projectID Gobierno de España. MDM 2014-0431
dc.relation.projectID Comunidad de Madrid. S2015/HUM-3444/MadEco-CM
dc.type.version draft
dc.identifier.uxxi DT/0000001658
dc.contributor.funder Consejería de Educación, Juventud y Deporte, Comunidad de Madrid
dc.contributor.funder Ministerio de Economía y Competitividad (España)
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