Testing for Autocorrelation in Quantile Regression Models
Quantile regression (QR) models have been increasingly employed in many applied areas in economics. At the early stage, applications took place usually using cross-section data, but recent development has seen a surge of the use of quantile regression in both time-series and panel datasets. However, how to test for possible autocorrelation, especially in the context of time-series models, has been paid little attention. As a rule of thumb, one might attempt to apply the usual Breusch-Godfrey LM test to the residuals from the baseline quantile regression. In this paper, we demonstrate by Monte Carlo simulations that such an application of the LM test can result in potentially large size distortions, especially in either low or high quantiles. We then propose two correct tests (named the F-test and the QR-LM test) for autocorrelation in quantile models, which do not suffer from any size distortion. Monte Carlo simulation demonstrate that the two tests perform fairly well in finite samples, across either different quantiles or different underlying error distributions.
|Date of creation:||13 Feb 2013|
|Contact details of provider:|| Postal: 50 Yonsei-ro, Seodaemun-gu, Seoul|
Web page: http://yeri.yonsei.ac.kr/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Komunjer, Ivana, 2005.
"Quasi-maximum likelihood estimation for conditional quantiles,"
Journal of Econometrics,
Elsevier, vol. 128(1), pages 137-164, September.
- Komunjer, Ivana, 2002. "Quasi-Maximum Likelihood Estimation for Conditional Quantiles," Working Papers 1139, California Institute of Technology, Division of the Humanities and Social Sciences.
- Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037, April.
- Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 164(1), pages 142-157, September.
- Breusch, T S, 1978. "Testing for Autocorrelation in Dynamic Linear Models," Australian Economic Papers, Wiley Blackwell, vol. 17(31), pages 334-355, December.
- Galvao Jr., Antonio F., 2009. "Unit root quantile autoregression testing using covariates," Journal of Econometrics, Elsevier, vol. 152(2), pages 165-178, October.
- Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-1310, November.
- Koenker, Roger, 2004. "Quantile regression for longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 91(1), pages 74-89, October.
- Abrevaya, Jason & Dahl, Christian M, 2008. "The Effects of Birth Inputs on Birthweight," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 379-397.
- Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
- Zhijie Xiao, 2009. "Quantile Cointegrating Regression," Boston College Working Papers in Economics 708, Boston College Department of Economics.
- Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, January.
- Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521608275, January.
- Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 143-156, Fall.
- Roger Koenker & Zhijie Xiao, 2004. "Unit Root Quantile Autoregression Inference," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 775-787, January.
- Antonio F. Galvao JR. & Gabriel Montes-Rojas & Sung Y. Park, 2013. "Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(2), pages 307-321, 04.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Weiss, Andrew A., 1991. "Estimating Nonlinear Dynamic Models Using Least Absolute Error Estimation," Econometric Theory, Cambridge University Press, vol. 7(01), pages 46-68, March.
- Koul, H. L. & Mukherjee, K., 1994. "Regression Quantiles and Related Processes Under Long Range Dependent Errors," Journal of Multivariate Analysis, Elsevier, vol. 51(2), pages 318-337, November.
- Weiss, Andrew A., 1990. "Least absolute error estimation in the presence of serial correlation," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 127-158.
- Antonio F. Galvao Jr. & Gabriel Montes‐Rojas & Jose Olmo, 2011. "Threshold quantile autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 253-267, 05.
- M. N. Hasan & R. W. Koenker, 1997. "Robust Rank Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 65(1), pages 133-162, January.
- Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
- Furno, Marilena, 2000. "Lm Tests In The Presence Of Non-Normal Error Distributions," Econometric Theory, Cambridge University Press, vol. 16(02), pages 249-261, April.
- Lamarche, Carlos, 2010. "Robust penalized quantile regression estimation for panel data," Journal of Econometrics, Elsevier, vol. 157(2), pages 396-408, August. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:yon:wpaper:2013rwp-54. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (YERI)
If references are entirely missing, you can add them using this form.