Bera, Anil K.; Galvao, Antonio F.; Wang, Liang - In: Journal of Econometric Methods 3 (2014) 1, pp. 47-62
Abstract This paper proposes tests for equality of the mean regression (MR) and quantile regression (QR) coefficients. The tests are based on the asymptotic joint distribution of the ordinary least squares and QR estimators. First, we formally derive the asymptotic joint distribution of these...
