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https://ah.lib.nccu.edu.tw/handle/140.119/60956
題名: | An Encompassing Test for Non-Nested Quantile Regression Models | 作者: | Lin,Hsin-yi; Kuan,Chung-Ming | 貢獻者: | 政大經濟系 | 關鍵詞: | Encompassing test;Non-nested model;Quantile regression;Rank score test | 日期: | May-2010 | 上傳時間: | 16-Sep-2013 | 摘要: | 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. | 關聯: | Economics Letters, 107(2), 257-260 | 資料類型: | article | DOI: | http://dx.doi.org/10.1016/j.econlet.2010.01.040 |
Appears in Collections: | 期刊論文 |
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