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Integrated Conditional Moment testing of quantile regression models

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  • 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)

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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Bibliographic 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;

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Cited by:
  1. Latruffe, Laure & Desjeux, Yann & Fogarasi, Jozsef & Bakucs, Lajos Zoltan & Ferto, Imre, 2010. "Technical efficiency and environmental pressures of pig farms in Hungary," 120th Seminar, September 2-4, 2010, Chania, Crete, European Association of Agricultural Economists 109385, European Association of Agricultural Economists.
  2. Giacomini, Raffaella & Komunjer, Ivana, 2002. "Evaluation and Combination of Conditional Quantile Forecasts," University of California at San Diego, Economics Working Paper Series qt4n99t4wz, Department of Economics, UC San Diego.
  3. J. Carlos Escanciano & Carlos Velasco, 2010. "Specification tests of parametric dynamic conditional quantiles," Post-Print hal-00732534, HAL.
  4. Rothe, Christoph & Wied, Dominik, 2012. "Misspecification Testing in a Class of Conditional Distributional Models," IZA Discussion Papers 6364, Institute for the Study of Labor (IZA).
  5. Sun, Yiguo, 2006. "A Consistent Nonparametric Equality Test Of Conditional Quantile Functions," Econometric Theory, Cambridge University Press, vol. 22(04), pages 614-632, August.
  6. Horowitz, Joel L. & Spokoiny, Vladimir G., 2000. "An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models," Working Papers, University of Iowa, Department of Economics 00-04, University of Iowa, Department of Economics.
  7. Juan Carlos Escanciano & Chuan Goh, 2010. "Specification Analysis of Structural Quantile Regression Models," Working Papers tecipa-415, University of Toronto, Department of Economics.
  8. Kostov, Philip & Patton, Myles & Moss, Joan E. & 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.
  9. Escanciano, J.C. & Goh, S.C., 2014. "Specification analysis of linear quantile models," Journal of Econometrics, Elsevier, Elsevier, vol. 178(P3), pages 495-507.
  10. Komunjer, Ivana, 2005. "Quasi-maximum likelihood estimation for conditional quantiles," Journal of Econometrics, Elsevier, Elsevier, vol. 128(1), pages 137-164, September.
  11. 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, Universidad Externado de Colombia, Universidad Nacional de Colombia, vol. 1(1), pages 95-108, December.
  12. Fertő, Imre & Bakucs, Lajos Zoltán, 2008. "Érvényes-e a Gibrat-törvény a magyar mezőgazdaságban?
    [Is Gibrat s law valid for Hungarian agriculture?]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 25-38.
  13. Komunjer, Ivana & Vuong, Quang, 2010. "Efficient estimation in dynamic conditional quantile models," Journal of Econometrics, Elsevier, Elsevier, vol. 157(2), pages 272-285, August.
  14. Lawrence Dacuycuy, 2006. "Explaining male wage inequality in the Philippines: non-parametric and semiparametric approaches," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 38(21), pages 2497-2511.

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