A lack-of-fit test for quantile regression models with high-dimensional covariates

DOI10.1016/J.CSDA.2015.02.016zbMATH Open1468.62043arXiv1502.05815OpenAlexW1995130543MaRDI QIDQ1663288FDOQ1663288

Mercedes Conde-Amboage, César Sánchez-Sellero, Wenceslao González-Manteiga

Publication date: 21 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Abstract: We propose a new lack-of-fit test for quantile regression models that is suitable even with high-dimensional covariates. The test is based on the cumulative sum of residuals with respect to unidimensional linear projections of the covariates. The test adapts concepts proposed by Escanciano (Econometric Theory, 22, 2006) to cope with many covariates to the test proposed by He and Zhu (Journal of the American Statistical Association, 98, 2003). To approximate the critical values of the test, a wild bootstrap mechanism is used, similar to that proposed by Feng et al. (Biometrika, 98, 2011). An extensive simulation study was undertaken that shows the good performance of the new test, particularly when the dimension of the covariate is high. The test can also be applied and performs well under heteroscedastic regression models. The test is illustrated with real data about the economic growth of 161 countries.

Full work available at URL: https://arxiv.org/abs/1502.05815

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zbMATH Keywords

quantile regressionhigh-dimensional covariateslack-of-fit testing

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20)

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Cited In (13)

• Efficient Diagnostics for Parametric Regression Models with Distortion Measurement Errors Incorporating Dimension-reduction
• A tuning-free efficient test for marginal linear effects in high-dimensional quantile regression
• A Lack-of-Fit Test for Quantile Regression
• Expansion for moments of regression quantiles with applications to nonparametric testing
• A Review on Dimension-Reduction Based Tests For Regressions
• Projection-averaging-based cumulative covariance and its use in goodness-of-fit testing for single-index models
• Projection quantile correlation and its use in high-dimensional grouped variable screening
• Martingale-difference-divergence-based tests for goodness-of-fit in quantile models
• Powerful nonparametric checks for quantile regression
• Goodness-of-fit tests for quantile regression with missing responses
• CONDITIONAL MARGINAL TEST FOR HIGH DIMENSIONAL QUANTILE REGRESSION
• Model checking for parametric single-index quantile models
• Powerful nonparametric checks for parametric single-index quantile models with missing responses

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