Local and Global Rank Tests for Multivariate Varying-Coefficient Models

• Type: Article in International Scientific Journal
• Date: 2011

Authors

Stephen G. Donald (Author) Other; Natércia Fortuna (Author) FEP; Vladas Pipiras (Author) Other

Journal

Title: Journal of Business & Economic Statistics

Vol. 29 No. 2

Pages: 295-306

Publisher: Taylor & Francis

Indexing

ISI Web of Knowledge - 1 Citation

ISI Web of Science

Scopus - 1 Citation

Scientific classification

FOS: Social sciences

CORDIS: Social sciences

Other information

Authenticus ID: P-002-SVR

DOI: 10.1198/jbes.2010.07303

Abstract (EN): In a multivariate varying-coefficient model, the response vectors Y are regressed on known functions v(X) of some explanatory variables X and the coefficients in an unknown regression matrix theta(Z) depend on another set of explanatory variables Z. We provide statistical tests, called local and global rank tests, which allow one to estimate the rank of an unknown regression coefficient matrix theta(Z) locally at a fixed level of the variable Z or globally as the maximum rank over all levels of Z in a proper, compact subset of the support of Z, respectively. We apply our results to estimate the so-called local and global ranks in a demand system where budget shares are regressed on known functions of total expenditures and the coefficients in a regression matrix depend on prices faced by a consumer.

Language: English

Type (Professor's evaluation): Scientific

Notes: with S. G. Donald and V. Pipiras

No. of pages: 12