Multiscale Comparison of Nonparametric Trending Coefficients

Marina Khismatullina, Bernhard van der Sluis

arXiv 16 Nov 2025 · Econometrics

arXiv:2511.12600 · PDF · DOI · OpenAlex · Extracted main text

Abstract

This paper proposes a novel framework to test for slope heterogeneity between time-varying coefficients in panel data models. Our test not only allows us to detect whether the coefficient functions are the same across all units or not, but also determines which of them are different and where these differences are located. We establish the asymptotic validity of our multiscale test. As an extension of the proposed procedure, we show how to use the results to uncover latent group structures in the model. We apply our methods to test for heterogeneity in the effect of U.S. monetary shocks on 49 foreign economies and itself. We find evidence that such heterogeneity indeed exists and we discuss the clustering results for two groups.

Citation extraction

appendix boundary found by appendix_command · 61% of the source is main text. Read the extracted text to check this.

Most heavily cited references

The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.

Showing the top 10 of 42 scored citations. 8 of these could not be matched to a bibliography entry, so only the citation key is shown.