RESET for quantile regression

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

This paper proposes a simple specification test for quantile regression models. Our test is based on Ramsey's (J. R. Stat. Soc. B 31:350-371, 1969) RESET (regression specification error test). Comparing to existing nonparametric specification tests, the proposed test does not contain kernel functions and bandwidth parameters and is easy to implement. Although the proposed test is not necessarily consistent against all types of misspecification, simulation results indicate that our test has reasonable size and power properties and can be more powerful than nonparametric specification tests in small samples.

Original languageEnglish
Pages (from-to)381-391
Number of pages11
JournalTest
Volume18
Issue number2
DOIs
Publication statusPublished - 2009 Aug 1
Externally publishedYes

Keywords

  • Quantile regression
  • RESET

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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