Consistent specification testing of quantile regression models

Manuel A. Domínguez
Authors registered in the RePEc Author Service: Miguel A. Delgado ()

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper introduces a specification testing procedure for quantile regression functions consistent in the direction of nonparametric alternatives. We consider test statistics based on a marked empirical process which does not require to estimate nonparametrically the true model. In general, the tests are not distribution free, but critical values can be consistentIy approximated using a residual based bootstrap. A small Monte Cario experiment shows that the test works fairly well in practice.

Keywords: Quarile; regression; consistent; specifications; test; market; process; bootstrap (search for similar items in EconPapers)
Date: 1997-05
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Citations: View citations in EconPapers (1)

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