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Robust Tests for Heteroscedasticity Based on Regression Quantiles

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Cited by:

  1. Fischer, Manfred M. & Stirböck, Claudia, 2005. "Regional Income Convergence in Europe, 1995-2000: A Spatial Econometric Perspective," MPRA Paper 77784, University Library of Munich, Germany.
  2. Huber, Martin & Melly, Blaise, 2011. "Quantile Regression in the Presence of Sample Selection," Economics Working Paper Series 1109, University of St. Gallen, School of Economics and Political Science.
  3. Fulvio Castellacci & Bart Los & Gaaitzen Vries, 2014. "Sectoral productivity trends: convergence islands in oceans of non-convergence," Journal of Evolutionary Economics, Springer, vol. 24(5), pages 983-1007, November.
  4. Gaglianone, Wagner Piazza & Guillén, Osmani Teixeira de Carvalho & Figueiredo, Francisco Marcos Rodrigues, 2018. "Estimating inflation persistence by quantile autoregression with quantile-specific unit roots," Economic Modelling, Elsevier, vol. 73(C), pages 407-430.
  5. Variyam, Jayachandran N., 2001. "Wic Participation And The Nutrient Intake Of Preschoolers," 2001 Annual meeting, August 5-8, Chicago, IL 20623, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  6. Joel L. Horowitz, 1998. "Bootstrap Methods for Median Regression Models," Econometrica, Econometric Society, vol. 66(6), pages 1327-1352, November.
  7. Martinez-Sanchis, Elena & Mora, Juan & Kandemir, Ilker, 2012. "Counterfactual distributions of wages via quantile regression with endogeneity," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3212-3229.
  8. Anton, W.R.Q.Wilma Rose Q. & Deltas, George & Khanna, Madhu, 2004. "Incentives for environmental self-regulation and implications for environmental performance," Journal of Environmental Economics and Management, Elsevier, vol. 48(1), pages 632-654, July.
  9. Rajesh K. Aggarwal & Andrew A. Samwick, 1999. "Executive Compensation, Strategic Competition, and Relative Performance Evaluation: Theory and Evidence," Journal of Finance, American Finance Association, vol. 54(6), pages 1999-2043, December.
  10. Friso Schlitte & Tiiu Paas, 2008. "Regional Income Inequality and Convergence Processes in the EU-25," SCIENZE REGIONALI, FrancoAngeli Editore, vol. 2008(Suppl. 2), pages 29-49.
  11. Shahidur R. Khandker & Zaid Bakht & Gayatri B. Koolwal, 2009. "The Poverty Impact of Rural Roads: Evidence from Bangladesh," Economic Development and Cultural Change, University of Chicago Press, vol. 57(4), pages 685-722, July.
  12. Gregory Kordas, 2006. "Smoothed binary regression quantiles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 387-407, April.
  13. Joshua D. Detre & Hiroki Uematsu & Ashok K. Mishra, 2011. "The influence of GM crop adoption on the profitability of farms operated by young and beginning farmers," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 71(1), pages 41-61, May.
  14. Victor Chernozhukov, 2005. "Extremal quantile regression," Papers math/0505639, arXiv.org.
  15. George A. Krause, 2006. "Beyond the Norm," Rationality and Society, , vol. 18(2), pages 157-191, May.
  16. Peracchi, Franco, 2002. "On estimating conditional quantiles and distribution functions," Computational Statistics & Data Analysis, Elsevier, vol. 38(4), pages 433-447, February.
  17. Park, Donghyun & Xiao, Qin, 2009. "Housing Prices and the Role of Speculation: The Case of Seoul," ADB Economics Working Paper Series 146, Asian Development Bank.
  18. Krueger, Alan B. & Schkade, David A., 2008. "The reliability of subjective well-being measures," Journal of Public Economics, Elsevier, vol. 92(8-9), pages 1833-1845, August.
  19. Halkos, George, 2010. "Modelling biodiversity," MPRA Paper 39075, University Library of Munich, Germany.
  20. Alexander, Carol & Han, Yang & Meng, Xiaochun, 2023. "Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1078-1096.
  21. Marianna Belloc & Paolo Naticchioni & Claudia Vittori, 2023. "Urban wage premia, cost of living, and collective bargaining," Journal of Economic Geography, Oxford University Press, vol. 23(1), pages 25-50.
  22. Cai, Zongwu & Xu, Xiaoping, 2009. "Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 371-383.
  23. Kano, Shigeki & Ohta, Makoto, 2005. "Estimating a matching function and regional matching efficiencies: Japanese panel data for 1973-1999," Japan and the World Economy, Elsevier, vol. 17(1), pages 25-41, January.
  24. Patricia Born & W. Kip Viscusi & Tom Baker, 2009. "The Effects of Tort Reform on Medical Malpractice Insurers' Ultimate Losses," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(1), pages 197-219, March.
  25. Ioannis Badounas & Georgios Pitselis, 2020. "Loss Reserving Estimation With Correlated Run-Off Triangles in a Quantile Longitudinal Model," Risks, MDPI, vol. 8(1), pages 1-26, February.
  26. Ramón Valencia-Romero & José C. Trejo-García & Humberto Ríos-Bolívar, 2023. "Wheat Import Demand in Mexico: Evidence of Quantile Cointegration," Agriculture, MDPI, vol. 13(5), pages 1-19, April.
  27. Baur, Dirk G. & Schulze, Niels, 2009. "Financial market stability--A test," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 506-519, July.
  28. Cheng, Tsung-Chi, 2011. "Robust diagnostics for the heteroscedastic regression model," Computational Statistics & Data Analysis, Elsevier, vol. 55(4), pages 1845-1866, April.
  29. Zhen Yu & Keming Yu & Wolfgang K. Härdle & Xueliang Zhang & Kai Wang & Maozai Tian, 2022. "Bayesian spatio‐temporal modeling for the inpatient hospital costs of alcohol‐related disorders," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(S2), pages 644-667, December.
  30. Komunjer, Ivana, 2005. "Quasi-maximum likelihood estimation for conditional quantiles," Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
  31. Guillaume Carlier & Victor Chernozhukov & Alfred Galichon, 2015. "Vector quantile regression: an optimal transport approach," CeMMAP working papers 58/15, Institute for Fiscal Studies.
  32. K Autchariyapanitkul & S Chanaim & S Sriboonchitta & T Denoeux, 2014. "Predicting Stock Returns in the Capital Asset Pricing Model Using Quantile Regression and Belief Functions," Post-Print hal-01127790, HAL.
  33. Javier Alejo, 2013. "Relación de Kuznets en América Latina. Explorando más allá de la media condicional," Económica, Instituto de Investigaciones Económicas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 59, pages 3-55, January-D.
  34. Whang, Yoon-Jae, 2006. "Smoothed Empirical Likelihood Methods For Quantile Regression Models," Econometric Theory, Cambridge University Press, vol. 22(2), pages 173-205, April.
  35. Åsberg Sommar, Per & Shahnazarian, Hovick, 2008. "Macroeconomic Impact on Expected Default Frequency," Working Paper Series 219, Sveriges Riksbank (Central Bank of Sweden).
  36. Heather Dickey, 2007. "Regional Earnings Inequality In Great Britain: Evidence From Quantile Regressions," Journal of Regional Science, Wiley Blackwell, vol. 47(4), pages 775-806, October.
  37. João Romão & Hisamitsu Saito, 2017. "A spatial analysis on the determinants of tourism performance in Japanese Prefectures," Asia-Pacific Journal of Regional Science, Springer, vol. 1(1), pages 243-264, April.
  38. Naifar, Nader & Hammoudeh, Shawkat, 2016. "Do global financial distress and uncertainties impact GCC and global sukuk return dynamics?," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 57-69.
  39. Kok, Seng Kiong & Shahgholian, Azar, 2023. "The impact of proximity within elite corporate networks on the Shariah governance-firm performance nexus: Evidence from the global Shariah elite," Emerging Markets Review, Elsevier, vol. 54(C).
  40. Tsimpanos, Apostolos & Tsimbos, Cleon & Kalogirou, Stamatis, 2018. "Assessing spatial variation and heterogeneity of fertility in Greece at local authority level," MPRA Paper 100406, University Library of Munich, Germany.
  41. Len Gill & Simon Rudkin, 2014. "Deconstructing Supermarket Intervention Effects on Fruit and Vegetable Consumption in Areas of Limited Retail Access: Evidence from the Seacroft Study," Environment and Planning A, , vol. 46(3), pages 649-665, March.
  42. Appleton, Simon & Song, Lina & Xia, Qingjie, 2014. "Understanding Urban Wage Inequality in China 1988–2008: Evidence from Quantile Analysis," World Development, Elsevier, vol. 62(C), pages 1-13.
  43. Henry De-Graft Acquah, 2013. "The Effect of Price and Climatic Variables on Maize Supply in Ghana," Journal of Social and Development Sciences, AMH International, vol. 4(1), pages 24-31.
  44. Allen B. Atkins & Pin T. Ng, 2014. "Refining Our Understanding of Beta through Quantile Regressions," JRFM, MDPI, vol. 7(2), pages 1-13, May.
  45. Narula, Subhash C. & Wellington, John F. & Lewis, Stephen A., 2012. "Valuating residential real estate using parametric programming," European Journal of Operational Research, Elsevier, vol. 217(1), pages 120-128.
  46. Miguel Ricardo Rueda, 2006. "Efecto De Exigencia En Calificación Sobre El Desempeno Académico. Estudio De Los Cursos De Matemáticas Básicos En La Universidad De Los Andes," Documentos CEDE 2414, Universidad de los Andes, Facultad de Economía, CEDE.
  47. Guillaume Carlier & Victor Chernozhukov & Alfred Galichon, 2014. "Vector quantile regression," CeMMAP working papers CWP48/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  48. Enno Siemsen & Kenneth A. Bollen, 2007. "Least Absolute Deviation Estimation in Structural Equation Modeling," Sociological Methods & Research, , vol. 36(2), pages 227-265, November.
  49. Sim, Nicholas, 2016. "Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 31-45.
  50. Romano, Joseph P. & Wolf, Michael, 2017. "Resurrecting weighted least squares," Journal of Econometrics, Elsevier, vol. 197(1), pages 1-19.
  51. Ke Zhu & Shiqing Ling, 2015. "LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(510), pages 784-794, June.
  52. Dustin Chambers & Patrick A. McLaughlin & Laura Stanley, 2019. "Barriers to prosperity: the harmful impact of entry regulations on income inequality," Public Choice, Springer, vol. 180(1), pages 165-190, July.
  53. Evans, Mary F. & Schaur, Georg, 2010. "A quantile estimation approach to identify income and age variation in the value of a statistical life," Journal of Environmental Economics and Management, Elsevier, vol. 59(3), pages 260-270, May.
  54. RAMDANI, Dendi & VAN WITTELOOSTUIJN, Arjen, 2009. "Board independence, CEO duality and firm performance: A quantile regression analysis for Indonesia, Malaysia, South Korea and Thailand," Working Papers 2009004, University of Antwerp, Faculty of Business and Economics.
  55. Andrew I. Friedson, 2018. "Medical Scribes as an Input in Health-Care Production: Evidence from a Randomized Experiment," American Journal of Health Economics, University of Chicago Press, vol. 4(4), pages 479-503, Fall.
  56. Chu-Chia Lin & Chien-Liang Chen & Ya-Chien Twu, 2012. "An Estimation of the Impact of Feng-Shui on Housing Prices in Taiwan : A Quantile Regression Application," International Real Estate Review, Global Social Science Institute, vol. 15(3), pages 325-346.
  57. Zangin Zeebari & Ghazi Shukur, 2023. "On The Least Absolute Deviations Method for Ridge Estimation of Sure Models," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 52(14), pages 4773-4791, July.
  58. Frondel, Manuel & Sommer, Stephan & Vance, Colin, 2017. "Heterogeneity in residential electricity consumption: A quantile regression approach," Ruhr Economic Papers 722, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  59. Maria Letizia Giorgetti, 2003. "Lower Bound Estimation – Quantile Regression and Simplex Method: An Application to Italian Manufacturing Sectors," Journal of Industrial Economics, Wiley Blackwell, vol. 51(1), pages 113-120, March.
  60. Pedro Telhado Pereira & Pedro Silva Martins, 2000. "Does education reduce wage inequality? Quantile regressions evidence from fifteen European countries," Nova SBE Working Paper Series wp379, Universidade Nova de Lisboa, Nova School of Business and Economics.
  61. Gokmenoglu, Korhan K. & Hadood, Abobaker Al.Al., 2020. "Impact of US unconventional monetary policy on dynamic stock-bond correlations: Portfolio rebalancing and signalling channel effects," Finance Research Letters, Elsevier, vol. 33(C).
  62. Johan Lundberg, 2006. "Using spatial econometrics to analyse local growth in Sweden," Regional Studies, Taylor & Francis Journals, vol. 40(3), pages 303-316.
  63. Frondel, Manuel & Ritter, Nolan & Vance, Colin, 2012. "Heterogeneity in the rebound effect: Further evidence for Germany," Energy Economics, Elsevier, vol. 34(2), pages 461-467.
  64. Sholeh A. Maani & Le Wen, 2021. "Over-education and immigrant earnings: a penalized quantile panel regression analysis," Applied Economics, Taylor & Francis Journals, vol. 53(24), pages 2771-2790, May.
  65. Omar Arias & Gustavo Yamada & Luis Tejerina, 2004. "Education, family background and racial earnings inequality in Brazil," International Journal of Manpower, Emerald Group Publishing Limited, vol. 25(3/4), pages 355-374, April.
  66. Urban Gråsjö, 2008. "University-educated Labor, R&D and Regional Export Performance," International Regional Science Review, , vol. 31(3), pages 211-256, July.
  67. Yang, Ann Shawing, 2016. "Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions," Emerging Markets Review, Elsevier, vol. 28(C), pages 140-154.
  68. Andrew Jones & Ángel López Nicolás, 2006. "Allowing for heterogeneity in the decomposition of measures of inequality in health," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 4(3), pages 347-365, December.
  69. Catherine Baumont & Cem Ertur & Julie Le Gallo, 2001. "A spatial econometric analysis of geographic spillovers and growth for European regions, 1980-1995," Working Papers hal-01526858, HAL.
  70. Paolo Naticchioni & Andrea Ricci, 2009. "Falling Educational Wage Premia in Italy," QA - Rivista dell'Associazione Rossi-Doria, Associazione Rossi Doria, issue 4, December.
  71. Jappelli, Tullio, 1995. "Does social security reduce the accumulation of private wealth? Evidence from Italian survey data," Ricerche Economiche, Elsevier, vol. 49(1), pages 1-31, March.
  72. Zangin Zeebari, 2012. "Developing ridge estimation method for median regression," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(12), pages 2627-2638, August.
  73. Karuna, Christo, 2007. "Industry product market competition and managerial incentives," Journal of Accounting and Economics, Elsevier, vol. 43(2-3), pages 275-297, July.
  74. M. Bagella & L. Becchetti, 1999. "The Determinants of Motion Picture Box Office Performance: Evidence from Movies Produced in Italy," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 23(4), pages 237-256, November.
  75. Grimard, Franque, 1997. "Household consumption smoothing through ethnic ties: evidence from Cote d'Ivoire," Journal of Development Economics, Elsevier, vol. 53(2), pages 391-422, August.
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  77. Shaoyu Li & Yanqing Sun & Liyang Diao & Xue Wang, 2021. "Distance-Based Analysis with Quantile Regression Models," Statistics in Biosciences, Springer;International Chinese Statistical Association, vol. 13(2), pages 291-312, July.
  78. Helen Robinson, 2002. "Wrong Side of the Track? The Impact of the Minimum Wage on Gender Pay Gaps in Britain," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(5), pages 417-448, December.
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  80. Hirvonen, Lalaina, 2006. "Intergenerational Earnings Mobility Among Daughters and Sons: Evidence from Sweden and a Comparison with the United States," Working Paper Series 5/2006, Stockholm University, Swedish Institute for Social Research.
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  88. Maryse J. Brand & Evelien P. M. Croonen & Roger T. A. J. Leenders, 2018. "Entrepreneurial networking: a blessing or a curse? Differential effects for low, medium and high performing franchisees," Small Business Economics, Springer, vol. 50(4), pages 783-805, April.
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  131. Dakshina De Silva & Georgia Kosmopoulou & Beatrice Pagel & Ronald Peeters, 2013. "The Impact of Timing on Bidding Behavior in Procurement Auctions of Contracts with Private Costs," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 42(3), pages 321-343, May.
  132. Chiou, Hai-Tang & Guo, Meihui & Ing, Ching-Kang, 2020. "Variable selection for high-dimensional regression models with time series and heteroscedastic errors," Journal of Econometrics, Elsevier, vol. 216(1), pages 118-136.
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