Shape testing in varying coefficient models

M. Ahkim, I. Gijbels and A. Verhasselt ()
Additional contact information
M. Ahkim: Universiteit Antwerpen
I. Gijbels: KU Leuven
A. Verhasselt: Universiteit Hasselt

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2017, vol. 26, issue 2, No 9, 429-450

Abstract: Abstract We consider varying coefficient models which are an extension of the classical linear regression models in the sense that the regression coefficients are replaced by functions in certain variables (often time). Varying coefficient models have been popular in longitudinal data and panel data studies, and have been applied in fields, such as finance and health sciences. We estimate the coefficient functions by splines. An important question in a varying coefficient model is whether a coefficient function is monotone or convex. We develop consistent testing procedures for monotonicity and convexity. Moreover, we provide procedures to test simultaneously the shapes of certain coefficient functions in a varying coefficient model. The tests use constrained and unconstrained regression splines. The performances of the proposed tests are illustrated on simulated data. We also give a real data application.

Keywords: B-spline approximation; Consistency; Convexity; Monotonicity; Testing; Varying coefficient models; 62G05; 62G08; 62G10; 62G20; 41A15; 41A29 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s11749-016-0518-y

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