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On Testing the Equality of Mean and Quantile Effects
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...
Persistent link: https://www.econbiz.de/10014612546
Cover Image
On Testing the Equality of Mean and Quantile Effects
Bera Anil K.; Galvao Antonio F.; Liang, Wang - In: Journal of Econometric Methods 3 (2014) 1, pp. 47-62
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 estimators....
Persistent link: https://www.econbiz.de/10010736354