Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative

DOI10.1016/j.jeconom.2009.01.003zbMath1431.62629OpenAlexW2119594389MaRDI QIDQ2630074

Joel L. Horowitz, Sokbae Lee

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://discovery.ucl.ac.uk/14676/1/14676.pdf

zbMATH Keywords

hypothesis testquantile estimationinstrumental variablesspecification testingconsistent testing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Related Items

Nonparametric inference for quantile cointegrations with stationary covariates, SPECIFICATION TESTING IN NONPARAMETRIC INSTRUMENTAL QUANTILE REGRESSION, Specification testing in random coefficient models, A generalized class of skew distributions and associated robust quantile regression models, Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models, Specification analysis of linear quantile models, Specification testing in nonparametric instrumental variable estimation

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