Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/185747 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
Discussion Paper No. 77
Verlag: 
Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition, München und Berlin
Zusammenfassung: 
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, 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 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.
Schlagwörter: 
nonparametric
specification
testing
random coefficients
unobserved heterogeneity
sieve estimation
characteristic function
consumer demand
Dokumentart: 
Working Paper

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