@article{10902/20706,
year = {2020},
url = {http://hdl.handle.net/10902/20706},
abstract = {This article provides several tests for skewness and kurtosis for the error terms in a one-way fixed-effects varying coefficient panel data model. To obtain these tests, estimators of higher-order moments of both error components are obtained as solutions of estimating equations. Additionally, to obtain the nonparametric residuals, a local constant estimator based on a pairwise differencing transformation is proposed. The asymptotic properties of these estimators and tests are established. The proposed estimators and test statistics are augmented by simulation studies, and they are also illustrated in an empirical analysis regarding the technical efficiency of European Union companies.},
organization = {The authors would like to thank two anonymous referees for their very helpful comments and suggestions.
Furthermore, the authors gratefully acknowledge financial support from the Programa Estatal de Fomento de
la Investigaci´on Cient´ıfica y T´ecnica de Excelencia/Spanish Ministry of Economy and Competitiveness. Ref.
ECO2016-76203-C2-1-P. In addition, this work is part of the Research Project APIE 1/2015-17: “New
methods for the empirical analysis of financial markets” of the Santander Financial Institute (SANFI)
of UCEIF Foundation resolved by the University of Cantabria and funded with sponsorship from Banco
Santander. Stute’s work was partly done while he was on leave at BCAM, the Basque Center of Applied
Mathematics in Bilbao},
publisher = {Taylor & Francis},
publisher = {Econometric Reviews, 2020 39:3, 277-298},
title = {Testing for distributional features in varying coefficient panel data models},
author = {Soberón Velez, Alexandra Pilar and Stute, Winfried and Rodríguez-Poo, Juan M.},
}