Unified specification tests in partially linear quantile regression models-北京大学战略研究所

题目	Unified specification tests in partially linear quantile regression models
作者	Song, Xiaojun Yang, Zixin
作者单位	Peking Univ, Guanghua Sch Management, Dept Business Stat & Econometr, Beijing 100871, Peoples R China Peking Univ, Ctr Stat Sci, Beijing 100871, Peoples R China
关键词：	CHECKS
时间：	2025年1月1日
出版者：	STATISTICS & PROBABILITY LETTERS
摘要	We propose specification tests for parametric quantile regression models versus semiparametric alternatives over a continuum of quantile levels. The test statistics are constructed as continuous functionals of a quantile-marked residual process. We show that using an orthogonal projection on the tangent space of nuisance parameters at each quantile index delivers unified asymptotic properties for tests based on different estimators. Consistency of the tests and asymptotic power under a sequence of local alternatives converging to the null at a parametric rate are also discussed. We propose a simple multiplier bootstrap procedure to carry out the tests, whose nominal levels are well approximated in our simulation study for modest sample sizes.
URL	http://hdl.handle.net/20.500.11897/721562
ISSN	0167-7152
DOI	10.1016/j.spl.2024.110243
收录情况	SCI(E)

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作者单位	Peking Univ, Guanghua Sch Management, Dept Business Stat & Econometr, Beijing 100871, Peoples R China Peking Univ, Ctr Stat Sci, Beijing 100871, Peoples R China	时间	2025年1月1日
出版者	STATISTICS & PROBABILITY LETTERS	URL	http://hdl.handle.net/20.500.11897/721562
ISSN	0167-7152	DOI	10.1016/j.spl.2024.110243
收录情况	SCI(E)	分类