Local and Global Rank Tests for Multivariate Varying-Coefficient Models

• Tipo: Artigo em Revista Científica Internacional
• Data: 2011

Autores

Stephen G. Donald (Autor) Outra; Natércia Fortuna (Autor) FEP; Vladas Pipiras (Autor) Outra

Revista

Título: Journal of Business & Economic Statistics

Vol. 29 Nº 2

Páginas: 295-306

Editora: Taylor & Francis

Indexação

ISI Web of Knowledge - 1 Citação

ISI Web of Science

Scopus - 1 Citação

Classificação Científica

FOS: Ciências sociais

CORDIS: Ciências Sociais

Outras Informações

ID Authenticus: 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.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

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

Nº de páginas: 12