An Encompassing Test for Non-Nested Quantile Regression Models
نویسندگان
چکیده
We propose an encompassing test for non-nested linear quantile regression models and show that it has an asymptotic χ2 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. JEL classification: C12, C52
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