Testing for distributional features in varying coefficient panel data models
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 ob...
| Autores: | , , |
|---|---|
| Tipo de recurso: | artículo |
| Fecha de publicación: | 2020 |
| País: | España |
| Institución: | Universidad de Cantabria (UC) |
| Repositorio: | UCrea Repositorio Abierto de la Universidad de Cantabria |
| Idioma: | inglés |
| OAI Identifier: | oai:repositorio.unican.es:10902/20706 |
| Acceso en línea: | http://hdl.handle.net/10902/20706 |
| Access Level: | acceso abierto |
| Palabra clave: | Moment estimator Pairwise difference Longitudinal data Skewness Kurtosis |
| Sumario: | 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. |
|---|