Local and Global Rank Tests for Multivariate Varying-Coefficient Models
In a multivariate varying-coefficient model, the response vectors Y are regressed on known functions u(X) of some explanatory variables X and the coefficients in an unknown regression matrix q(Z) depend on another set of explanatory variables Z. We provide statistical tests, called local and global rank tests, which allow to estimate the rank of an unknown regression coefficient matrix q(Z) locally at a fixed level of the variable Z or globally as the maximum rank over all levels of Z, respectively. In the case of local rank tests, we do so by applying already available rank tests to a kernel-based estimator of the coefficient matrix q(z). Global rank tests are obtained by integrating test statistics used in estimation of local rank tests. We present a simulation study where, focusing on global ranks, we examine small sample properties of the considered statistical tests. We also apply our results to estimate the so-called local and global ranks in a demand system where budget shares are regressed on known functions of total expenditures and the coefficients in a regression matrix depend on prices faced by a consumer.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 29 (2011)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main|
|Order Information:||Web: http://www.amstat.org/publications/index.html|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fortuna, Natercia, 2008.
"Local rank tests in a multivariate nonparametric relationship,"
Journal of Econometrics,
Elsevier, vol. 142(1), pages 162-182, January.
- Natércia Fortuna, 2004. "Local rank tests in a multivariate nonparametric relationship," FEP Working Papers 137, Universidade do Porto, Faculdade de Economia do Porto.
- Natercia Fortuna, 2004. "Local rank tests in a multivariate nonparametric relationship," Econometric Society 2004 North American Summer Meetings 446, Econometric Society.
- Robin, Jean-Marc & Smith, Richard J., 2000.
"Tests Of Rank,"
Cambridge University Press, vol. 16(02), pages 151-175, April.
- John Muellbauer, 1975. "Aggregation, Income Distribution and Consumer Demand," Review of Economic Studies, Oxford University Press, vol. 42(4), pages 525-543.
- Li, Qi, et al, 2002. "Semiparametric Smooth Coefficient Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 412-422, July.
- Newey, W.K., 1992.
"Kernel Estimation of Partial Means and a General Variance Estimator,"
93-3, Massachusetts Institute of Technology (MIT), Department of Economics.
- Newey, Whitney K., 1994. "Kernel Estimation of Partial Means and a General Variance Estimator," Econometric Theory, Cambridge University Press, vol. 10(02), pages 1-21, June.
- repec:cup:etheor:v:10:y:1994:i:2:p:233-53 is not listed on IDEAS
- Cragg, John G. & Donald, Stephen G., 1993. "Testing Identifiability and Specification in Instrumental Variable Models," Econometric Theory, Cambridge University Press, vol. 9(02), pages 222-240, April.
- Lewbel, Arthur, 1991. "The Rank of Demand Systems: Theory and Nonparametric Estimation," Econometrica, Econometric Society, vol. 59(3), pages 711-730, May.
- Jianqing Fan, 2000. "Simultaneous Confidence Bands and Hypothesis Testing in Varying-coefficient Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(4), pages 715-731.
- Muellbauer, John, 1976. "Community Preferences and the Representative Consumer," Econometrica, Econometric Society, vol. 44(5), pages 979-999, September.
- Cragg, John G. & Donald, Stephen G., 1997. "Inferring the rank of a matrix," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 223-250.
- repec:cup:etheor:v:9:y:1993:i:2:p:222-40 is not listed on IDEAS
- Christopher J. Nicol, 2001. "The rank and model specification of demand systems: an empirical analysis using United States microdata," Canadian Journal of Economics, Canadian Economics Association, vol. 34(1), pages 259-289, February.
- Stephen G. Donald, 1997. "Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship," Econometrica, Econometric Society, vol. 65(1), pages 103-132, January.
- James Banks & Richard Blundell & Arthur Lewbel, 1997. "Quadratic Engel Curves And Consumer Demand," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 527-539, November.
When requesting a correction, please mention this item's handle: RePEc:bes:jnlbes:v:29:i:2:y:2011:p:295-306. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.