Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative

Joel L. Horowitz and Sokbae (Simon) Lee

Journal of Econometrics, 2009, vol. 152, issue 2, 141-152

Abstract: This paper is concerned with inference about a function g that is identified by a conditional quantile restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test is not subject to the ill-posed inverse problem of nonparametric instrumental variable estimation. Under mild conditions, the test is consistent against any alternative model. In large samples, its power is arbitrarily close to 1 uniformly over a class of alternatives whose distance from the null hypothesis is proportional to n-1/2, where n is the sample size. Monte Carlo simulations illustrate the finite-sample performance of the test.

Keywords: Hypothesis; test; Quantile; estimation; Instrumental; variables; Specification; testing; Consistent; testing (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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Working Paper: Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:152:y:2009:i:2:p:141-152

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