Constant Coefficient Tests for Random Coefficient Regression

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Constant Coefficient Tests for Random Coefficient Regression

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Pedro Delicado
Juan Romo

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Pedro Delicado

Abstract

Random coefficient regression models have 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.

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Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 329.

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Date of creation: Nov 1998
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Handle: RePEc:upf:upfgen:329

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

This paper has been announced in the following NEP Reports:

NEP-ALL-1998-11-20 (All new papers)
NEP-ECM-1998-11-23 (Econometrics)

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Pedro Delicado & Juan Romo, 1999. "Goodness of Fit Tests in Random Coefficient Regression Models," Annals of the Institute of Statistical Mathematics, Springer, vol. 51(1), pages 125-148, March. [Downloadable!] (restricted)
Koenker, Roger, 1981. "A note on studentizing a test for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 17(1), pages 107-112, September. [Downloadable!] (restricted)
Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-94, September. [Downloadable!] (restricted)
White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
D. Pollard, 1980. "The minimum distance method of testing," Metrika, Springer, vol. 27(1), pages 43-70, December. [Downloadable!] (restricted)

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