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Consistent specification testing of quantile regression models

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  • Domínguez, Manuel A.

Abstract

This paper introduces a specification testing procedure for quantile regression functions consistent in the direction of nonparametric alternatives. We consider test statistics based on a marked empirical process which does not require to estimate nonparametrically the true model. In general, the tests are not distribution free, but critical values can be consistentIy approximated using a residual based bootstrap. A small Monte Cario experiment shows that the test works fairly well in practice.

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  • Domínguez, Manuel A., 1997. "Consistent specification testing of quantile regression models," DES - Working Papers. Statistics and Econometrics. WS 6211, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:6211
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    References listed on IDEAS

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    1. Amemiya, Takeshi, 1982. "Two Stage Least Absolute Deviations Estimators," Econometrica, Econometric Society, vol. 50(3), pages 689-711, May.
    2. de Jong, Robert M., 1996. "The Bierens test under data dependence," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 1-32.
    3. Chamberlain, G., 1991. "Quantile Regression, Censoring, And The Structure Of Wages," Harvard Institute of Economic Research Working Papers 1558, Harvard - Institute of Economic Research.
    4. Granger, C. W. J. & White, Halbert & Kamstra, Mark, 1989. "Interval forecasting : An analysis based upon ARCH-quantile estimators," Journal of Econometrics, Elsevier, vol. 40(1), pages 87-96, January.
    5. Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
    6. Donald W. K. Andrews, 1997. "A Conditional Kolmogorov Test," Econometrica, Econometric Society, vol. 65(5), pages 1097-1128, September.
    7. Delgado, Miguel A., 1993. "Testing the equality of nonparametric regression curves," Statistics & Probability Letters, Elsevier, vol. 17(3), pages 199-204, June.
    8. de Jong, R.M. & Bierens, H.J., 1994. "On the Limit Behavior of a Chi-Square Type Test if the Number of Conditional Moments Tested Approaches Infinity," Econometric Theory, Cambridge University Press, vol. 10(1), pages 70-90, March.
    9. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-1458, November.
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    Cited by:

    1. Domínguez, Manuel A. & Lavergne, Pascal, 1998. "Asymptotic and bootstrap specification tests of nonlinear in variable econometric models," DES - Working Papers. Statistics and Econometrics. WS 4674, Universidad Carlos III de Madrid. Departamento de Estadística.

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    Keywords

    Quarile regression;

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