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Please use this identifier to cite or link to this item: http://hdl.handle.net/1942/23409

Title: Shape testing in varying coefficient models
Authors: Ahkim, Mohamed
Gijbels, Irène
Verhasselt, Anneleen
Issue Date: 2017
Citation: TEST, 26 (2), pag. 429-450
Abstract: We consider varying coefficient models, which are an extension of the classical linear regression models in the sense that the regression coefficients are replaced by functions in certain variables (often time). Varying coefficient models have been popular in longitudinal data and panel data studies, and have been applied in fields such as finance and health sciences. We estimate the coefficient functions by splines. An important question in a varying coefficient model is whether a coefficient function is monotone or convex. We develop consistent testing procedures for monotonicity and convexity. Moreover, we provide procedures to test simultaneously the shapes of certain coefficient functions in a varying coefficient model. The tests use constrained and unconstrained regression splines. The performances of the proposed tests are illustrated on simulated data. We also give a real data application.
Notes: Verhasselt, A (reprint author), Univ Hasselt, Interuniv Inst Biostat & Stat Bioinformat, Censtat, Hasselt, Belgium. anneleen.verhasselt@uhasselt.be
URI: http://hdl.handle.net/1942/23409
DOI: 10.1007/s11749-016-0518-y
ISI #: 000401435200009
ISSN: 1133-0686
Category: A1
Type: Journal Contribution
Appears in Collections: Research publications

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