Testing constancy in varying coefficient models

Miguel Delgado () and Luis A. Arteaga-Molina

Journal of Econometrics, 2021, vol. 222, issue 1, 625-644

Abstract: This article proposes a coefficients constancy test in semi-varying coefficient models that only needs to estimate the restricted coefficients under the null hypothesis. The test statistic resembles the union-intersection test after ordering the data according to the varying coefficients’ explanatory variable. This statistic depends on a trimming parameter that can be chosen by a data-driven calibration method we propose. A bootstrap test is justified under fairly general regularity conditions. Under more restrictive assumptions, the critical values can be tabulated, and trimming is unnecessary. The finite sample performance is studied by means of Monte Carlo experiments, and a real data application for modeling education returns.

Keywords: Varying coefficient models; Model checks; Union-intersection tests; Concomitants; Partial effects model checks; Wild bootstrap; Trimming data-driven calibration (search for similar items in EconPapers)
JEL-codes: C12 C14 C52 (search for similar items in EconPapers)
Date: 2021
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Working Paper: Testing Constancy in Varying Coefficient Models (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:222:y:2021:i:1:p:625-644

DOI: 10.1016/j.jeconom.2020.07.041

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