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Specification analysis of linear quantile models

Listed author(s):
  • Escanciano, J.C.
  • Goh, S.C.

This paper introduces a nonparametric test for the correct specification of a linear conditional quantile function over a continuum of quantile levels. These tests may be applied to assess the validity of post-estimation inferences regarding the effect of conditioning variables on the distribution of outcomes. We show that the use of an orthogonal projection on the tangent space of nuisance parameters at each quantile index both improves power and facilitates the simulation of critical values via the application of a simple multiplier bootstrap procedure. Monte Carlo evidence and an application to the empirical analysis of age–earnings curves are included.

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File URL: http://www.sciencedirect.com/science/article/pii/S030440761300184X
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 178 (2014)
Issue (Month): P3 ()
Pages: 495-507

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Handle: RePEc:eee:econom:v:178:y:2014:i:p3:p:495-507
DOI: 10.1016/j.jeconom.2013.07.006
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
  2. Joshua Angrist & Victor Chernozhukov & Iván Fernández-Val, 2006. "Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure," Econometrica, Econometric Society, vol. 74(2), pages 539-563, 03.
  3. Joel L. Horowitz, 1998. "Bootstrap Methods for Median Regression Models," Econometrica, Econometric Society, vol. 66(6), pages 1327-1352, November.
  4. repec:hal:journl:peer-00732534 is not listed on IDEAS
  5. He X. & Hu F., 2002. "Markov Chain Marginal Bootstrap," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 783-795, September.
  6. Jacob A. Mincer, 1974. "Introduction to "Schooling, Experience, and Earnings"," NBER Chapters, in: Schooling, Experience, and Earnings, pages 1-4 National Bureau of Economic Research, Inc.
  7. Yoon-Jae Whang, 2003. "Smoothed Empirical Likelihood Methods for Quantile Regression Models," Econometrics 0310005, EconWPA.
  8. Sakov, Anat & Bickel, Peter J., 2000. "An Edgeworth expansion for the m out of n bootstrapped median," Statistics & Probability Letters, Elsevier, vol. 49(3), pages 217-223, September.
  9. Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003. "Estimation of semiparametric models when the criterion function is not smooth," LSE Research Online Documents on Economics 2167, London School of Economics and Political Science, LSE Library.
  10. 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).
  11. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
  12. Murphy, Kevin M & Welch, Finis, 1990. "Empirical Age-Earnings Profiles," Journal of Labor Economics, University of Chicago Press, vol. 8(2), pages 202-229, April.
  13. 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.
  14. Joel Horowitz & Sokbae Lee, 2007. "Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative," CeMMAP working papers CWP02/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  15. Bilias, Yannis & Chen, Songnian & Ying, Zhiliang, 2000. "Simple resampling methods for censored regression quantiles," Journal of Econometrics, Elsevier, vol. 99(2), pages 373-386, December.
  16. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521608275, December.
  17. Zheng, John Xu, 1998. "A Consistent Nonparametric Test Of Parametric Regression Models Under Conditional Quantile Restrictions," Econometric Theory, Cambridge University Press, vol. 14(01), pages 123-138, February.
  18. Jacob A. Mincer, 1974. "Schooling, Experience, and Earnings," NBER Books, National Bureau of Economic Research, Inc, number minc74-1.
  19. Victor Chernozhukov & Christian Hansen, 2005. "An IV Model of Quantile Treatment Effects," Econometrica, Econometric Society, vol. 73(1), pages 245-261, 01.
  20. Taisuke Otsu, 2009. "RESET for quantile regression," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 18(2), pages 381-391, August.
  21. Herman J. Bierens & Donna K. Ginther, 2001. "Integrated Conditional Moment testing of quantile regression models," Empirical Economics, Springer, vol. 26(1), pages 307-324.
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