To date the literature on quantile regression and least absolute deviation regression has assumed either explicitly or implicitly that the conditional quantile regression model is correctly specified. When the model is misspecified, confidence intervals and hypothesis tests based on the...

In this paper, we suggest and analyze a new class of specification tests for random coefficient models. These tests allow to assess the validity of central structural features of the model, in particular linearity in coefficients, generalizations of this notion like a known nonlinear functional...

In this paper, we suggest and analyze a new class of specification tests for random coefficient models. These tests allow to assess the validity of central structural features of the model, in particular linearity in coefficients, generalizations of this notion like a known nonlinear functional...

Time-varying coefficient models have been widely used to model changing relationships of economic and financial variables. The existing literature usually specifies the time-varying coefficient vector as a stochastic stationary process, a deterministic function of time, or a unit root process....