Artikel
Specification testing in random coefficient models
In this paper, we suggest and analyze a new class of specification tests for random coefficient models. These tests allow to assess the validity of central structural features of the model, in particular linearity in coefficients, generalizations of this notion like a known nonlinear functional relationship, or degeneracy of the distribution of a random coefficient, that is, whether a coefficient is fixed or random, including whether an associated variable can be omitted altogether. Our tests are nonparametric in nature, and use sieve estimators of the characteristic function. We provide formal power analysis against global as well as against local alternatives. Moreover, we perform a Monte Carlo simulation study, and apply the tests to analyze the degree of nonlinearity in a heterogeneous random coefficients demand model. While we find some evidence against the popular QUAIDS specification with random coefficients, it is not strong enough to reject the specification at the conventional significance level.
- Language
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Englisch
- Bibliographic citation
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Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 9 ; Year: 2018 ; Issue: 3 ; Pages: 1371-1417 ; New Haven, CT: The Econometric Society
- Classification
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Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
- Subject
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Nonparametric specification testing
random coefficients
unobserved heterogeneity
sieve estimation characteristic function
consumer demand
- Event
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Geistige Schöpfung
- (who)
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Breunig, Christoph
Hoderlein, Stefan
- Event
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Veröffentlichung
- (who)
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The Econometric Society
- (where)
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New Haven, CT
- (when)
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2018
- DOI
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doi:10.3982/QE757
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Breunig, Christoph
- Hoderlein, Stefan
- The Econometric Society
Time of origin
- 2018
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