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Integrated Conditional Moment testing of quantile regression models

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Author Info
Herman J. Bierens () (Department of Economics, Pennsylvania State University, 608 Kern Graduate Building, University Park, PA16802, and Tilburg University, The Netherlands Research Department, Federal Reserve Bank of Atlanta, 104 Marietta Street, NW, Atlanta, GA 30303, USA)
Donna K. Ginther () (Department of Economics, Pennsylvania State University, 608 Kern Graduate Building, University Park, PA16802, and Tilburg University, The Netherlands Research Department, Federal Reserve Bank of Atlanta, 104 Marietta Street, NW, Atlanta, GA 30303, USA)

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Abstract

In this paper we propose a consistent test of the linearity of quantile regression models, similar to the Integrated Conditional Moment (ICM) test of Bierens (1982) and Bierens and Ploberger (1997). This test requires re-estimation of the quantile regression model by minimizing the ICM test statistic with respect to the parameters. We apply this ICM test to examine the correctness of the functional form of three median regression wage equations.

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Publisher Info
Article provided by Springer in its journal Empirical Economics.

Volume (Year): 26 (2001)
Issue (Month): 1 ()
Pages: 307-324
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Handle: RePEc:spr:empeco:v:26:y:2001:i:1:p:307-324

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Related research
Keywords: Quantile regression; Test for linearity; Integrated conditional moment test; Wage equations;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials

Cited by:
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  1. 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!]
  2. 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!]
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  3. Kostov, Philip & Patton, Myles & Moss, Joan & McErlean, Seamus, 2005. "Does Gibrat's Law Hold Amongst Dairy Farmers in Northern Ireland?," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24775, European Association of Agricultural Economists. [Downloadable!]
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  4. Lawrence Dacuycuy, 2006. "Explaining male wage inequality in the Philippines: non-parametric and semiparametric approaches," Applied Economics, Taylor and Francis Journals, vol. 38(21), pages 2497-2511, December. [Downloadable!] (restricted)
  5. Juan Carlos Escanciano & Carlos Velasco, 2008. "Specification Tests of Parametric Dynamic Conditional Quantiles," Caepr Working Papers 2008-021, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
  6. Sun, Y., 2003. "A Consistent Nonparametric Equality Test of Conditional Quantile Functions," Working Papers 2003-10, University of Guelph, Department of Economics. [Downloadable!]
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  7. Jhon James Mora, 2003. "Sheepskin effects and screening in Colombia," COLOMBIAN ECONOMIC JOURNAL, COLOMBIAN ECONOMIC JOURNAL. [Downloadable!]
    Other versions:
    • Jhon James Mora, 2003. "Sheepskin effects and screening in Colombia," Colombian Economic Journal, Academia Colombiana de Ciencias Economicas, Colegio Mayor de Nuestra Senora del Rosario, Pontificia Universidad Javeriana, Universidad de Antioquia, Universidad de los Andes, Universidad del Valle, Un, vol. 1(1), pages 95-108, December. [Downloadable!]
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