Specification testing in random coefficient models

• 成果类型: Article
• 署名作者: Breunig, Christoph; Hoderlein, Stefan
• 署名单位: Humboldt University of Berlin; Boston College
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE757
• 发表日期: 2018
• 页码: 1371-1417
• 关键词: Nonparametric specification testing; random coefficients; unobserved heterogeneity; sieve estimation; characteristic function; consumer demand

摘要

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.