Constant coefficient tests for random coefficient regression

Pedro Delicado

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: Random coefficient regression models habe 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: Goodnes-of-fit; linear; regression; random; coeficients (search for similar items in EconPapers)
Date: 1999-03
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:6271

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