Monotonicity in a scalar unobservable is a now common assumption when modeling heterogeneity in structural models. Among other things, it allows one to recover the underlying structural function from certain conditional quantiles of observables. Nevertheless, monotonicity is a strong assumption...

In this paper we provide considerable Monte Carlo evidence on the finite sample performance of several alternative forms of White?s [1982] IM test. Using linear regression and probit models, we extend the range of previous analysis in a manner that reveals new patterns in the behavior of the...