This paper considers the problem of implementing semiparametric extremum estimators of a generalized regression model with an unknown link function. The class of estimator under consideration includes as special cases the semiparametric least-squares estimator of Ichimura (1993) as well as the...

This paper is concerned with tests of restrictions on the sample path of conditional quantile processes. These tests are tantamount to assessments of lack of fit for models of conditional quantile functions or more generally as tests of how certain covariates affect the distribution of an...