Integrated Conditional Moment testing of quantile regression models

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.

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Year of publication:	2001-03-19
Authors:	Bierens, Herman J. ; Ginther, Donna K.
Published in:	Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 26.2001, 1, p. 307-324
Publisher:	Department of Economics and Finance Research and Teaching
Subject:	Quantile regression \| Test for linearity \| Integrated conditional moment test \| Wage equations

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Extent:	application/pdf
Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C21 - Cross-Sectional Models; Spatial Models ; C52 - Model Evaluation and Testing ; J31 - Wage Level and Structure; Wage Differentials by Skill, Training, Occupation, etc
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005382156