Powerful nonparametric checks for quantile regression
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Abstract: We address the issue of lack-of-fit testing for a parametric quantile regression. We propose a simple test that involves one-dimensional kernel smoothing, so that the rate at which it detects local alternatives is independent of the number of covariates. The test has asymptotically gaussian critical values, and wild bootstrap can be applied to obtain more accurate ones in small samples. Our procedure appears to be competitive with existing ones in simulations. We illustrate the usefulness of our test on birthweight data.
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Cited in
(16)- A lack-of-fit test for quantile regression models with high-dimensional covariates
- Significance testing in quantile regression
- A lack-of-fit test for quantile regression process models
- Adaptive testing using data-driven method selecting smoothing parameters
- Omnibus test for covariate effects in conditional copula models
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