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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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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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
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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.
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