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An encompassing test for non-nested quantile regression models

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  • Kuan, Chung-Ming
  • Lin, Hsin-Yi

Abstract

We propose an encompassing test for non-nested linear quantile regression models and show that it has an asymptotic [chi]2 distribution. It is also shown that the proposed test is a regression rank score test in a comprehensive model under conditional homogeneity. Our simulation results indicate that the proposed test performs very well in finite samples.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4Y95N9D-1/2/035a60ba207a1f897f84392845f348c6
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 107 (2010)
Issue (Month): 2 (May)
Pages: 257-260

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Handle: RePEc:eee:ecolet:v:107:y:2010:i:2:p:257-260

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Encompassing test Non-nested model Quantile regression Rank score test;

References

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  1. Fisher, Gordon R. & McAleer, Michael, 1981. "Alternative procedures and associated tests of significance for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 16(1), pages 103-119, May.
  2. Russell Davidson & James G. MacKinnon, 1981. "Tests for Model Specification in the Presence of Alternative Hypotheses: Some Further Results," Working Papers 430, Queen's University, Department of Economics.
  3. Chen, Yi-Ting & Kuan, Chung-Ming, 2002. "The pseudo-true score encompassing test for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 106(2), pages 271-295, February.
  4. Wooldridge, Jeffrey M., 1990. "An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses," Journal of Econometrics, Elsevier, vol. 45(3), pages 331-350.
  5. Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
  6. Ramalho, Joaquim J. S. & Smith, Richard J., 2002. "Generalized empirical likelihood non-nested tests," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 99-125, March.
  7. Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-78, May.
  8. Otsu, Taisuke, 2008. "Conditional empirical likelihood estimation and inference for quantile regression models," Journal of Econometrics, Elsevier, vol. 142(1), pages 508-538, January.
  9. J. M. C. Santos Silva, 2001. "A score test for non-nested hypotheses with applications to discrete data models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(5), pages 577-597.
  10. Christophe Bontemps & Grayham E. Mizon, 2008. "Encompassing: Concepts and Implementation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 721-750, December.
  11. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1983. "Testing nested or non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(1), pages 83-115, January.
  12. Smith, Richard J, 1992. "Non-nested.Tests for Competing Models Estimated by Generalized Method of Moments," Econometrica, Econometric Society, vol. 60(4), pages 973-80, July.
  13. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
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Cited by:
  1. Hsin-Yi Lin, 2011. "A robust test for non-nested hypotheses," AStA Advances in Statistical Analysis, Springer, vol. 95(1), pages 93-111, March.

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