Robust Tests for Heteroscedasticity Based on Regression Quantiles

DOI10.2307/1912528MaRDI QIDQ3940647zbMATH OpenOpenAlexFDO

Authors Gilbert Jun. Bassett, Roger Koenker

Publication date 1982

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/ae38146c504514a36f758bbc6efbd91eda59801c

zbMATH Keywords

asymptotic theoryconditional quantile functioncontaminated distributionserror processGaussian hypotheseslinear modelsPitman-ARE

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05)

Cited in

(only showing first 100 items - show all)

• Testing heteroscedasticity in nonparametric regression models based on residual analysis
• Least absolute deviations estimation for the censored regression model
• Censored regression quantiles
• Quantile composite-based path modeling
• Conditional \(L_ p\)-quantiles and their application to the testing of symmetry in non-parametric regression
• Estimating the variance of the LAD regression coefficients.
• Asymptotic behavior of regression quantiles in non-stationary, dependent cases
• Quantile regression, Box-Cox transformation model and the U.S. wage structure, 1963--1987
• Estimating linear regressions with mismeasured, possibly endogenous, binary explanatory variables
• Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models
• Econometrics and decision theory
• Robustifying Glejser test of heteroskedasticity
• Glejser's test revisited
• Estimating censored regression models in the presence of nonparametric multiplicative hetero\-skedasticity.
• A consistent test for heteroscedasticity in nonparametric regression based on the kernel method
• Smoothed empirical likelihood analysis of partially linear quantile regression models with missing response variables
• Nonparametric depth and quantile regression for functional data
• Smoothed empirical likelihood confidence intervals for quantile regression parameters with auxiliary information
• A semiparametric quantile panel data model with an application to estimating the growth effect of FDI
• Simple resampling methods for censored regression quantiles
• Regression quantiles for unstable autoregressive models
• Estimating the asymptotic covariance matrix for quantile regression models. A Monte Carlo study
• Testing for a constant coefficient of variation in nonparametric regression by empirical processes
• Counterfactual distributions of wages via quantile regression with endogeneity
• Restricted regression quantiles
• Joint generalized quantile and conditional tail expectation regression for insurance risk analysis
• The \(k\)th power expectile regression
• A quantile regression perspective on external preference mapping
• A test for heteroscedasticity in functional linear models
• Quantile correlation coefficient: a new tail dependence measure
• Handling multicollinearity in quantile regression through the use of principal component regression
• Bayesian estimation of Archimedean copula-based SUR quantile models
• Variable selection for high-dimensional regression models with time series and heteroscedastic errors
• The role of the efficiency gap for spillovers from FDI: evidence from the UK electronics and engineering sectors
• Editorial: Quantile regression
• Quantiles via moments
• Predictive quantile regressions under persistence and conditional heteroskedasticity
• Sheep in wolf's clothing: using the least squares criterion for quantile estimation
• Asymptotically exact inference in conditional moment inequality~models
• Empirical likelihood for composite quantile regression modeling
• Jackknife model averaging for quantile regressions
• Extremal quantile regression
• Enforcement and over-compliance
• Testing for heteroskedasticity in fixed effects models
• Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
• Quasi-maximum likelihood estimation for conditional quantiles
• Conditional variance model checking
• The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data
• A research based on POT-CAViaR model of extreme risk measure
• Measurement of risk based on QR-GARCH-EVT model
• Comparing time varying regression quantiles under shift invariance
• Quantile regression for location-scale time series models with conditional heteroscedasticity
• Vector quantile regression: an optimal transport approach
• Testing for structural change in regression quantiles
• Bartlett corrections and bias correction for two heteroscedastic regression models
• The global weighted lad estimators for finite/infinite variance ARMA(p,q) models
• Heteroscedasticity detection and estimation with quantile difference method
• A CONSISTENT NONPARAMETRIC EQUALITY TEST OF CONDITIONAL QUANTILE FUNCTIONS
• Nonparametric regression expectiles^∗
• Exponential smoothing based on L-estimation.
• A robust test for homoscedasticity in nonparametric regression
• A note on algebraic equivalence of White's test and a variation of the Godfrey/Breusch-Pagan test for heteroscedasticity
• Empirical smoothing lack-of-fit tests for variance function
• Statistical inference on heteroscedastic models based on regression quantiles
• The robustness, reliabiligy and power of heteroskedasticity tests
• Valuating residential real estate using parametric programming
• EFFICIENT SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR QUANTILE REGRESSION MODEL
• Bayesian empirical likelihood for quantile regression
• Rank tests in heteroscedastic linear model with nuisance parameters
• The relationship between the absolute deviation from a quantile and Gini's mean difference
• ARCH tests and quantile regressions
• Testing for multivariate heteroscedasticity
• Estimation of high conditional quantiles for heavy-tailed distributions
• Asymptotics for L₁‐estimators of regression parameters under heteroscedasticityY
• Adaptive elastic-net selection in a quantile model with diverging number of variable groups
• Nonparametric Subset Scanning for Detection of Heteroscedasticity
• Resurrecting weighted least squares
• A proximal dual semismooth Newton method for zero-norm penalized quantile regression estimator
• Constrained quantile regression and heteroskedasticity
• Lessons from quantile panel estimation of the environmental Kuznets curve
• Detection of marginal heteroscedasticity for partial linear single-index models
• Multiple quantile regression analysis of longitudinal data: heteroscedasticity and efficient estimation
• The Lee-Carter quantile mortality model
• Developing ridge estimation method for median regression
• Patterns of earnings differentials across three conservative European welfare regimes with alternative education systems
• Testing heteroscedasticity in nonlinear and nonparametric regressions
• Bayesian quantile regression for hierarchical linear models
• On comparison of estimation methods in quantile regression
• Assessment and validation in quantile composite-based path modeling
• Rank score and permutation testing alternatives for regression quantile estimates
• On Testing the Equality of Mean and Quantile Effects
• SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS
• ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE
• A note on L-estimates for linear models
• Quantile Methods for Stochastic Frontier Analysis
• Two-stage rank estimation of quantile index models
• Evaluation of a three-step method for choosing the number of bootstrap repetitions
• On estimating conditional quantiles and distribution functions.
• Flexible parametric quantile regression model
• Optimal subsampling for large‐sample quantile regression with massive data

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