RT Generic
T1 Testing Constancy in Varying Coefficient Models
A1 Delgado, Miguel A.
A1 Arteaga-Molina, Luis A.
A2 Universidad Carlos III de Madrid. Departamento de Economía, 
A2 , 
AB 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
SN 2340-5031
YR 2019
FD 2019-01
LK https://hdl.handle.net/10016/27981
UL https://hdl.handle.net/10016/27981
LA eng
NO Research funded by Ministerio Economía y Competitividad (Spain), ECO2017-86675-P & MDM 2014-0431, and byComunidad de Madrid (Spain), MadEco-CM S2015/HUM-3444.
DS e-Archivo
RD 16 jul. 2024