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An encompassing test for non-nested quantile regression models

  • Kuan, Chung-Ming
  • Lin, Hsin-Yi

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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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
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. 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.
  2. 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.
  3. MacKinnon, James G. & White, Halbert & Davidson, Russell, 1983. "Tests for model specification in the presence of alternative hypotheses : Some further results," Journal of Econometrics, Elsevier, vol. 21(1), pages 53-70, January.
  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. 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.
  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. 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.
  8. J M C Santos Silva, 1996. "A Score Test for Non-nested Hypotheses with Applications to Discrete Data Models," Discussion Papers 96-28 ISSN 1350-6722, University College London, Department of Economics.
  9. 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.
  10. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
  11. Otsu, Taisuke, 2008. "Conditional empirical likelihood estimation and inference for quantile regression models," Journal of Econometrics, Elsevier, vol. 142(1), pages 508-538, January.
  12. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1983. "Testing nested or non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(1), pages 83-115, January.
  13. 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.
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