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Constant coefficient tests for random coefficient regression

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  • Delicado, Pedro
  • Romo, Juan

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.

Suggested Citation

  • Delicado, Pedro & Romo, Juan, 1999. "Constant coefficient tests for random coefficient regression," DES - Working Papers. Statistics and Econometrics. WS 6271, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:6271
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    References listed on IDEAS

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    1. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    2. D. Pollard, 1980. "The minimum distance method of testing," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 27(1), pages 43-70, December.
    3. Delicado, Pedro & Romo, Juan, 1995. "Random coefficient regressions: parametric goodness of fit tests," DES - Working Papers. Statistics and Econometrics. WS 4199, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Pedro Delicado & Juan Romo, 1999. "Goodness of Fit Tests in Random Coefficient Regression Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(1), pages 125-148, March.
    5. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
    6. Arcones, Miguel A. & Giné, Evarist, 1994. "U-processes indexed by Vapnik-Cervonenkis classes of functions with applications to asymptotics and bootstrap of U-statistics with estimated parameters," Stochastic Processes and their Applications, Elsevier, vol. 52(1), pages 17-38, August.
    7. Koenker, Roger, 1981. "A note on studentizing a test for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 17(1), pages 107-112, September.
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    More about this item

    Keywords

    Goodnes-of-fit;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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