Economics at your fingertips  

Testing for distributional features in varying coefficient panel data models

Alexandra Soberon, Winfried Stute and Juan M. Rodriguez-Poo

Econometric Reviews, 2020, vol. 39, issue 3, 277-298

Abstract: This article provides several tests for skewness and kurtosis for the error terms in a one-way fixed-effects varying coefficient panel data model. To obtain these tests, estimators of higher-order moments of both error components are obtained as solutions of estimating equations. Additionally, to obtain the nonparametric residuals, a local constant estimator based on a pairwise differencing transformation is proposed. The asymptotic properties of these estimators and tests are established. The proposed estimators and test statistics are augmented by simulation studies, and they are also illustrated in an empirical analysis regarding the technical efficiency of European Union companies.

Date: 2020
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

DOI: 10.1080/07474938.2019.1624403

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().

Page updated 2020-09-04
Handle: RePEc:taf:emetrv:v:39:y:2020:i:3:p:277-298