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An encompassing test for non-nested quantile regression models

We propose an encompassing test for non-nested linear quantile regression models and show that it has an asymptotic [chi]2 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.
Year of publication:
2010
Authors: Kuan, Chung-Ming ; Lin, Hsin-Yi
Published in:
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 107.2010, 2, p. 257-260
Publisher: Elsevier
Keywords: Encompassing test Non-nested model Quantile regression Rank score test
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10008551423
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