Composite Quantile Generalized Quasi-Likelihood Ratio Tests for Varying Coefficient Regression Models

Abstract

A new test procedure, called composite quantile generalized quasi-likelihood ratio (CQGQLR) test is proposed in this paper to test whether all or partial coefficients are indeed constants or some specific functions for the varying coefficient regression models. The test statistics are constructed based on the comparison of the composite quantile quasi-likelihood functions under null and alternative hypotheses. The proposed test methodologies are applied to analyze the Boston house price data. The simulation results and the real example illustrate the effectiveness and practical usefulness of the proposed test statistics.