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 reestimation 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.
Previous versions of this paper have been presented by the first author at the University of Pennsylvania, the Econometric Society European Meeting 1997, Toulouse, Johns Hopkins University, and the conference on Economic Applications of Quantile Regression in Konstanz, Germany. The constructive comments of the co-editor, Bernd Fitzenberger, and a referee, are gratefully acknowledged.
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© 2002 Springer-Verlag Berlin Heidelberg
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Bierens, H.J., Ginther, D.K. (2002). Integrated Conditional Moment testing of quantile regression models. In: Fitzenberger, B., Koenker, R., Machado, J.A.F. (eds) Economic Applications of Quantile Regression. Studies in Empirical Economics. Physica, Heidelberg. https://doi.org/10.1007/978-3-662-11592-3_16
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DOI: https://doi.org/10.1007/978-3-662-11592-3_16
Publisher Name: Physica, Heidelberg
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