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...

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Autores: Soberón Velez, Alexandra Pilar|||0000-0001-5268-6751, Stute, Winfried, Rodríguez-Poo, Juan M.|||0000-0001-8751-3025
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
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spelling Testing for distributional features in varying coefficient panel data modelsSoberón Velez, Alexandra Pilar|||0000-0001-5268-6751 Stute, WinfriedRodríguez-Poo, Juan M.|||0000-0001-8751-3025Moment estimatorPairwise differenceLongitudinal dataSkewnessKurtosisThis 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.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 BilbaoTaylor & FrancisUniversidad de Cantabria20202020-01-0120202020-01-0120212021-06-01journal articlehttp://purl.org/coar/resource_type/c_6501NAhttp://purl.org/coar/version/c_be7fb7dd8ff6fe43info:eu-repo/semantics/articlehttp://hdl.handle.net/10902/20706Econometric Reviews, 2020 39:3, 277-298reponame:UCrea Repositorio Abierto de la Universidad de Cantabriainstname:Universidad de Cantabria (UC)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:repositorio.unican.es:10902/207062026-06-02T12:39:31Z
dc.title.none.fl_str_mv Testing for distributional features in varying coefficient panel data models
title Testing for distributional features in varying coefficient panel data models
spellingShingle Testing for distributional features in varying coefficient panel data models
Soberón Velez, Alexandra Pilar|||0000-0001-5268-6751
Moment estimator
Pairwise difference
Longitudinal data
Skewness
Kurtosis
title_short Testing for distributional features in varying coefficient panel data models
title_full Testing for distributional features in varying coefficient panel data models
title_fullStr Testing for distributional features in varying coefficient panel data models
title_full_unstemmed Testing for distributional features in varying coefficient panel data models
title_sort Testing for distributional features in varying coefficient panel data models
dc.creator.none.fl_str_mv Soberón Velez, Alexandra Pilar|||0000-0001-5268-6751
Stute, Winfried
Rodríguez-Poo, Juan M.|||0000-0001-8751-3025
author Soberón Velez, Alexandra Pilar|||0000-0001-5268-6751
author_facet Soberón Velez, Alexandra Pilar|||0000-0001-5268-6751
Stute, Winfried
Rodríguez-Poo, Juan M.|||0000-0001-8751-3025
author_role author
author2 Stute, Winfried
Rodríguez-Poo, Juan M.|||0000-0001-8751-3025
author2_role author
author
dc.contributor.none.fl_str_mv Universidad de Cantabria
dc.subject.none.fl_str_mv Moment estimator
Pairwise difference
Longitudinal data
Skewness
Kurtosis
topic Moment estimator
Pairwise difference
Longitudinal data
Skewness
Kurtosis
description 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.
publishDate 2020
dc.date.none.fl_str_mv 2020
2020-01-01
2020
2020-01-01
2021
2021-06-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
NA
http://purl.org/coar/version/c_be7fb7dd8ff6fe43
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv http://hdl.handle.net/10902/20706
url http://hdl.handle.net/10902/20706
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv Econometric Reviews, 2020 39:3, 277-298
reponame:UCrea Repositorio Abierto de la Universidad de Cantabria
instname:Universidad de Cantabria (UC)
instname_str Universidad de Cantabria (UC)
reponame_str UCrea Repositorio Abierto de la Universidad de Cantabria
collection UCrea Repositorio Abierto de la Universidad de Cantabria
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869415499506384896
score 15.300719

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