An encompassing test for non-nested quantile regression models

Chung-Ming Kuan () and Hsin-Yi Lin

Economics Letters, 2010, vol. 107, issue 2, 257-260

Abstract: We propose an encompassing test for non-nested linear quantile regression models and show that it has an asymptotic [chi]2 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.

Keywords: Encompassing; test; Non-nested; model; Quantile; regression; Rank; score; test (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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