A Consistent Nonparametric Test Of Parametric Regression Models Under Conditional Quantile Restrictions

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A Consistent Nonparametric Test Of Parametric Regression Models Under Conditional Quantile Restrictions

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Zheng, John Xu

Abstract

This paper proposes a nonparametric, kernel-based test of parametric quantile regression models. The test statistic has a limiting standard normal distribution if the parametric quantile model is correctly specified and diverges to infinity for any misspecification of the parametric model. Thus the test is consistent against any fixed alternative. The test also has asymptotic power 1 against local alternatives converging to the null at proper rates. A simulation study is provided to evaluate the finite-sample performance of the test.

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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 14 (1998)
Issue (Month): 01 (February)
Pages: 123-138
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:14:y:1998:i:01:p:123-138_14

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Raffaella Giacomini & Ivana Komunjer, 2003. "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics 571, Boston College Department of Economics. [Downloadable!]
Other versions:
- Raffaella Giacomini & Ivana Komunjer, 2002. "Evaluation and Combination of Conditional Quantile Forecasts," University of California at San Diego, Economics Working Paper Series 2002-11, Department of Economics, UC San Diego. [Downloadable!]
- Giacomini, Raffaella & Komunjer, Ivana, 2005. "Evaluation and Combination of Conditional Quantile Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 416-431, October. [Downloadable!] (restricted)
Horowitz, Joel L. & Spokoiny, Vladimir G., 2000. "An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models," Working Papers 00-04, University of Iowa, Department of Economics. [Downloadable!]
Kiho Jeong & Wolfgang Härdle, 2008. "A Consistent Nonparametric Test for Causality in Quantile," SFB 649 Discussion Papers SFB649DP2008-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
Thanasis Stengos & Yiguo Sun, 2006. "The absolute health income hypothesis revisited: A Semiparametric Quantile Regression Approach," Working Papers 0606, University of Guelph, Department of Economics. [Downloadable!]
Other versions:
- Thanasis Stengos & Yiguo Sun, 2005. "The Absolute Health Income Hypothesis Revisited : A Semiparametric Quantile Regression Approach," University of Cyprus Working Papers in Economics 7-2005, University of Cyprus Department of Economics. [Downloadable!]
- Thanasis Stengos & Yiguo Sun, 2007. "The absolute health income hypothesis revisited: A Semiparametric Quantile Regression Approach," Working Paper Series 23-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]
- Yiguo Sun & Thanasis Stengos, 2008. "The absolute health income hypothesis revisited: a semiparametric quantile regression approach," Empirical Economics, Springer, vol. 35(2), pages 395-412, September. [Downloadable!] (restricted)
Sun, Y., 2003. "A Consistent Nonparametric Equality Test of Conditional Quantile Functions," Working Papers 2003-10, University of Guelph, Department of Economics. [Downloadable!]
Other versions:
- Sun, Yiguo, 2006. "A Consistent Nonparametric Equality Test Of Conditional Quantile Functions," Econometric Theory, Cambridge University Press, vol. 22(04), pages 614-632, August. [Downloadable!]
Halbert White & Tae-Hwan Kim, 2002. "Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression," University of California at San Diego, Economics Working Paper Series 2002-09, Department of Economics, UC San Diego. [Downloadable!]

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