Integrated Conditional Moment Testing of Quantile Regression Models
نویسندگان
چکیده
In this paper we propose a consistent test of the linearity of quantile regression models, similar to the Integrated Conditional Moment (ICM) test of Bierens (1982) and Bierens and Ploberger (1997). This test requires re-estimation of the quantile regression model by minimizing the ICM test statistic with respect to the parameters. We apply this ICM test to examine the correctness of the functional form of three median regression wage equations.
منابع مشابه
Inference on Randomly Censored Regression Models Using Conditional Moment Inequalities∗
Under a conditional quantile restriction, randomly censored regression models can be written in terms of conditional moment inequalities. We study the identified features of these moment inequalities with respect to the regression parameters. These inequalities restrict the parameters to a set. We then show regular point identification can be achieved under a set of interpretable sufficient con...
متن کاملBayesian Quantile Regression with Adaptive Lasso Penalty for Dynamic Panel Data
Dynamic panel data models include the important part of medicine, social and economic studies. Existence of the lagged dependent variable as an explanatory variable is a sensible trait of these models. The estimation problem of these models arises from the correlation between the lagged depended variable and the current disturbance. Recently, quantile regression to analyze dynamic pa...
متن کاملFirm Specific Risk and Return: Quantile Regression Application
The present study aims at investigating the relationship between firm specific risk and stock return using cross-sectional quantile regression. In order to study the power of firm specific risk in explaining cross-sectional return, a combination of Fama-Macbeth (1973) model and quantile regression is used. To this aim, a sample of 270 firms listed in Tehran Stock Exchange during 1999-2010 was i...
متن کاملEfficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals By
This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown parametric components (θ ) and unknown functions (h) of endogenous variables. We show that: (1) the penalized sieve minimum distance (PSMD) estimator (θ̂ , ĥ) can simultaneously achieve root-n asymptotic normality of θ̂ and nonparametric optimal convergence rate of ĥ,...
متن کاملConditional Quantile Estimation for Garch Models
Conditional quantile estimation is an essential ingredient in modern risk management. Although GARCH processes have proven highly successful in modeling financial data it is generally recognized that it would be useful to consider a broader class of processes capable of representing more flexibly both asymmetry and tail behavior of conditional returns distributions. In this paper, we study esti...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2001