RESET for quantile regression

研究成果: Article

2 引用 (Scopus)

抄録

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.

元の言語English
ページ(範囲)381-391
ページ数11
ジャーナルTest
18
発行部数2
DOI
出版物ステータスPublished - 2009 8 1
外部発表Yes

Fingerprint

Quantile Regression
Specification Test
Regression
Specification
Non-parametric test
Misspecification
Kernel Function
Small Sample
Regression Model
Bandwidth
Quantile regression
Specification error
Specification test
Simulation

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

これを引用

RESET for quantile regression. / Otsu, Taisuke.

:: Test, 巻 18, 番号 2, 01.08.2009, p. 381-391.

研究成果: Article

Otsu, Taisuke. / RESET for quantile regression. :: Test. 2009 ; 巻 18, 番号 2. pp. 381-391.
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