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2015-12-30Buch DOI: 10.18452/4610
Specification Testing in Random Coefficient Models
dc.contributor.authorBreunig, Christoph
dc.contributor.authorHoderlein, Stefan
dc.date.accessioned2017-06-16T01:21:09Z
dc.date.available2017-06-16T01:21:09Z
dc.date.created2017-01-31
dc.date.issued2015-12-30
dc.date.submitted2015-12-30
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5262
dc.description.abstractIn 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 and generalizations of this notion like a known nonlinear functional relationship. They also allow to test for degeneracy of the distribution of a random coefficient, i.e., 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 analyze their power against both global and local alternatives in large samples and through a Monte Carlo simulation study. Finally, we apply our framework to analyze the specification in a heterogeneous random coefficients consumer demand model.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectsieve minimum distanceeng
dc.subjectNonparametric specification testingeng
dc.subjectunobserved heterogeneityeng
dc.subjectcharacteristic functioneng
dc.subjectconsumer demandeng
dc.subjectrandom coefficientseng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleSpecification Testing in Random Coefficient Models
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100243170
dc.identifier.doihttp://dx.doi.org/10.18452/4610
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages55
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2015
local.edoc.container-issue53
local.edoc.container-year2015
local.edoc.container-erstkatid2195055-6

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