Testing for distributional features in varying coefficient panel data models

被引：2
|
作者：
Soberon, Alexandra [1 ]
Stute, Winfried [2 ]
Rodriguez-Poo, Juan M. [1 ]
机构：
[1] Univ Cantabria, Dept Econ, E-39005 Santander, Spain
[2] Univ Giessen, Math Inst, Giessen, Germany
来源：
ECONOMETRIC REVIEWS | 2020年 / 39卷 / 03期
关键词：
Moment estimator; pairwise difference; longitudinal data; skewness; kurtosis; GOODNESS-OF-FIT; SEMIPARAMETRIC ESTIMATION; NONPARAMETRIC-ESTIMATION; EFFICIENT ESTIMATION; ERROR COMPONENT; SKEWNESS; NORMALITY; KURTOSIS; ESTIMATORS;
D O I：
10.1080/07474938.2019.1624403
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：277 / 298
页数：22
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