Testing Constancy in Varying Coefficient Models

Luis A. Arteaga-Molina
Authors registered in the RePEc Author Service: Miguel A. Delgado ()

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: 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

Keywords: Varying; coefficient; models; Model; checks; U-I; tests; Concomitants; Interactive; effects; model; checks (search for similar items in EconPapers)
JEL-codes: C12 C14 C52 (search for similar items in EconPapers)
Date: 2019-01
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Journal Article: Testing constancy in varying coefficient models (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:27981

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