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Title: Testing for distributional features in varying coefficient panel data models Authors:  Alexandra Soberon - Universidad de Cantabria (Spain) [presenting]
Winfried Stute - University of Giessen (Germany)
Juan Manuel Rodriguez-Poo - Universidad de Cantabria (Spain)
Abstract: Several tests for skewness and kurtosis for the error terms are provided in a one-way fixed effects varying coefficient panel data model. In order to obtain these tests, estimators of higher order moments of both error components are obtained as solutions of estimating equations. Also, 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 about the technical efficiency of the European Union companies.