Martingale-difference-divergence-based tests for goodness-of-fit in quantile models

DOI10.1016/J.JSPI.2019.10.007MaRDI QIDQ2301110zbMATH OpenOpenAlexFDO

Authors Kai Xu, Fangxue Chen

Publication date 28 February 2020

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2019.10.007

zbMATH Keywords

bootstrapgoodness-of-fitmartingale difference divergencequantile regression

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Nonparametric regression and quantile regression (62G08)

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• Specification analysis of linear quantile models
• Wild bootstrap for quantile regression

Cited in

(5)

• Implementation of a goodness-of-fit test through Khmaladze martingale transformation
• A martingale-difference-divergence-based test for specification
• Novel specification tests for synchronous additive concurrent model formulation based on martingale difference divergence
• A tuning-free efficient test for marginal linear effects in high-dimensional quantile regression
• A test of U-type for goodness-of-fit in regression models through martingale difference divergence

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