Powerful nonparametric checks for quantile regression

DOI10.1016/J.JSPI.2016.08.006zbMATH Open1358.62048arXiv1404.0216OpenAlexW1904953985MaRDI QIDQ338398FDOQ338398

Authors: Samuel Maistre, Pascal Lavergne, Valentin Patilea 

Publication date: 4 November 2016

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

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.

Full work available at URL: https://arxiv.org/abs/1404.0216

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zbMATH Keywords

quantile regressionsmoothing\(U\)-statisticsgoodness-of-fit testwild bootstrapGaussian critical values

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

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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
• Adaptive testing using data-driven method selecting smoothing parameters
• RESET for quantile regression
• 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
• Powerful nonparametric checks for parametric single-index quantile models with missing responses
• A scalable nonparametric specification testing for massive data

Uses Software

• quantreg

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