Integrated Conditional Moment testing of quantile regression models

Herman Bierens (hbierens@psu.edu) and Donna Ginther

Empirical Economics, 2001, vol. 26, issue 1, 307-324

Abstract: 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.

Keywords: Quantile regression; Test for linearity; Integrated conditional moment test; Wage equations (search for similar items in EconPapers)
JEL-codes: C12 C21 C52 J31 (search for similar items in EconPapers)
Date: 2001-03-19
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Citations: View citations in EconPapers (26)

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