Integrated Conditional Moment testing of quantile regression models
AbstractIn 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 InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 26 (2001)
Issue (Month): 1 ()
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Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- 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, Validation, and Selection
- J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials
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