Constant Coefficient Tests for Random Coefficient Regression

Pedro Delicado and Juan Romo

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: Random coefficient regression models have been applied in different fields and they constitute a unifying setup for many statistical problems. The nonparametric study of this model started with Beran and Hall (1992) and it has become a fruitful framework. In this paper we propose and study statistics for testing a basic hypothesis concerning this model: the constancy of coefficients. The asymptotic behavior of the statistics is investigated and bootstrap approximations are used in order to determine the critical values of the test statistics. A simulation study illustrates the performance of the proposals.

Keywords: Goodness-of-fit; linear regression; random coefficients (search for similar items in EconPapers)
JEL-codes: C12 C14 C15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 1998-11
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Persistent link: http://EconPapers.repec.org/RePEc:upf:upfgen:329

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