Arbeitspapier
Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative
This paper is concerned with inference about a function g that is identified by a conditional quantile restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test is not subject to the ill-posed inverse problem of nonparametric instrumental variables estimation. Under mild conditions, the test is consistent against any alternative model. In large samples, its power is arbitrarily close to 1 uniformly over a class of alternatives whose distance from the null hypothesis is O (n1/2), where n is the sample size. Monte Carlo simulations illustrate the finite-sample performance of the test.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP02/07
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
- Thema
-
Hypothesis test , quantile estimation , instrumental variables , specification testing , consistent testing
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Horowitz, Joel L.
Lee, Sokbae
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2007
- DOI
-
doi:10.1920/wp.cem.2007.0207
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Horowitz, Joel L.
- Lee, Sokbae
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2007
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