Bierens, Herman J.; Ginther, Donna K. - In: Empirical Economics 26 (2001) 1, pp. 307-324
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 re-estimation of the quantile regression model by minimizing the ICM test...
