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Integrated Conditional Moment testing of quantile regression models

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Abstract.

In this paper we propose a consistent test of the linearity of quantile regression models, similar to the Integrated Conditional Moment (ICM) test of Bierens (1982) and Bierens and Ploberger (1997). This test requires re-estimation of the quantile regression model by minimizing the ICM test statistic with respect to the parameters. We apply this ICM test to examine the correctness of the functional form of three median regression wage equations.

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Authors and Affiliations

  1. Department of Economics, Pennsylvania State University, 608 Kern Graduate Building, University Park, PA16802, and Tilburg University, The Netherlands (E-mail: hbierens@psu.edu. URL: http://econ.la.psu.edu/∼hbierens/.) Research Department, Federal Reserve Bank of Atlanta, 104 Marietta Street, NW, Atlanta, GA 30303, USA, , , , , , US

    Herman J. Bierens & Donna K. Ginther

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  1. Herman J. Bierens
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  2. Donna K. Ginther
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Bierens, H., Ginther, D. Integrated Conditional Moment testing of quantile regression models. Empirical Economics 26, 307–324 (2001). https://doi.org/10.1007/s001810000059

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  • DOI: https://doi.org/10.1007/s001810000059

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