Testing for distributional features in varying coefficient panel data models
针对单向固定效应变系数面板数据模型的误差项，提出了偏度和峰度的检验方法，通过估计高阶矩和局部常数估计量，并进行了模拟和实证分析，适用于经管领域的技术效率研究。
This article provides several tests for skewness and kurtosis for the error terms in a one-way fixed-effects varying coefficient panel data model. To obtain these tests, estimators of higher-order moments of both error components are obtained as solutions of estimating equations. Additionally, to obtain the nonparametric residuals, a local constant estimator based on a pairwise differencing transformation is proposed. The asymptotic properties of these estimators and tests are established. The proposed estimators and test statistics are augmented by simulation studies, and they are also illustrated in an empirical analysis regarding the technical efficiency of European Union companies.