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A Generalized Likelihood Ratio test for constancy in varying coefficient models with endogenous regressors

Author

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  • Arteaga-Molina, Luis A.
  • Rodriguez-Poo, Juan M.

Abstract

This paper proposes a Generalized Likelihood Ratio test for assessing coefficient constancy in varying coefficient models with endogenous regressors. The test accommodates endogeneity through a nonparametric instrumental variables framework and is explicitly designed for time series data, allowing for serial dependence via mixing conditions.

Suggested Citation

  • Arteaga-Molina, Luis A. & Rodriguez-Poo, Juan M., 2026. "A Generalized Likelihood Ratio test for constancy in varying coefficient models with endogenous regressors," Statistics & Probability Letters, Elsevier, vol. 230(C).
    • Handle: RePEc:eee:stapro:v:230:y:2026:i:c:s0167715225002512
    DOI: 10.1016/j.spl.2025.110606
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    Keywords

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    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
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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