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Testing for distributional features in varying coefficient panel data models

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.

 Fuente: Econometric Reviews, 2020 39:3, 277-298

 Editorial: Taylor & Francis

 Año de publicación: 2020

 Nº de páginas: 21

 Tipo de publicación: Artículo de Revista

 DOI: 10.1080/07474938.2019.1624403

 ISSN: 0747-4938,1532-4168

 Proyecto español: ECO2016-76203-C2-1-P ; Research Project APIE 1/2015-17

 Url de la publicación: https://doi.org/10.1080/07474938.2019.1624403