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Title: An Encompassing Test for Non-Nested Quantile Regression Models
Authors: Lin,Hsin-yi;Kuan,Chung-Ming
Contributors: 政大經濟系
Keywords: Encompassing test;Non-nested model;Quantile regression;Rank score test
Date: 2010-05
Issue Date: 2013-09-16 17:30:52 (UTC+8)
Abstract: We propose an encompassing test for non-nested linear quantile regression models and show that it has an asymptotic χ2 distribution. It is also shown that the proposed test is a regression rank score test in a comprehensive model under conditional homogeneity. Our simulation results indicate that the proposed test performs very well in finite samples.
Relation: Economics Letters, 107(2), 257-260
Data Type: article
DOI 連結:
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