Testing for distributional features in varying coefficient panel data models

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URI: http://hdl.handle.net/10902/20706
ISSN: 0747-4938
ISSN: 1532-4168
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Autoría
Soberón Velez, Alexandra PilarAutoridad Unican; Stute, Winfried; Rodríguez-Poo, Juan M.Autoridad Unican
Fecha
2020
Derechos
© Taylor & Francis. This is an Accepted Manuscript of an article published by Taylor & Francis in Econometric Reviews on 2020, available online: http://www.tandfonline.com/10.1080/07474938.2019.1624403
Publicado en
Econometric Reviews, 2020 39:3, 277-298
Editorial
Taylor & Francis
Disponible después de
2021-06-01
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Palabras clave
Moment estimator
Pairwise difference
Longitudinal data
Skewness
Kurtosis
Resumen/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.
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