Testing constancy in varying coefficient models

Abstract

This article proposes a coefficients constancy test in semi-varyingcoefficient models that only needs to estimate the restricted coefficients under the none hypothesis. The test statistic resembles the union-intersection test after ordering the data according to the varying coefficients" explanatory variable. This statistic depends on a trimming parameter that can be chosen by a data-driven calibration method we propose. A bootstrap test is justified under fairly general regularity conditions. Under more restrictive assumptions, the critical values can be tabulated, and trimming is unnecessary. The finite sample performance is studied by means of Monte Carlo experiments, and a real data application for modeling education returns