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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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- A Lack-of-Fit Test for Quantile Regression
- A consistent nonparametric test of parametric regression models under conditional quantile restrictions
- A lack-of-fit test for quantile regression models with high-dimensional covariates
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Cited in
(16)- A lack-of-fit test for quantile regression process models
- A Lack-of-Fit Test for Quantile Regression
- Nonparametric testing of an exclusion restriction in quantile regression
- A Review on Dimension-Reduction Based Tests For Regressions
- Omnibus test for covariate effects in conditional copula models
- Significance testing in quantile regression
- Martingale-difference-divergence-based tests for goodness-of-fit in quantile models
- A consistent nonparametric test of parametric regression models under conditional quantile restrictions
- RESET for quantile regression
- Adaptive testing using data-driven method selecting smoothing parameters
- Lack-of-fit tests for quantile regression models
- Nonparametric test for checking lack of fit of the quantite regression model under random censoring
- A lack-of-fit test for quantile regression models with high-dimensional covariates
- Model checking for parametric single-index quantile models
- A scalable nonparametric specification testing for massive data
- Powerful nonparametric checks for parametric single-index quantile models with missing responses
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