Nonparametric Testing of an Exclusion Restriction in Quantile Regression |
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Authors: | Bo Li |
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Institution: | 1. School of Economics and Management, Tsinghua University , Beijing, China libo@sem.tsinghua.edu.cn |
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Abstract: | Using the framework proposed by Bickel et al. (2006
Bickel , P. J. ,
Ritov , Y. ,
Stoker , T. ( 2006 ). Tailor-made tests for goodness-of-fit to semiparametric hypotheses . Ann. Stat. 34 ( 2 ): 721 – 741 . Google Scholar]), we provide a score-based testing method to check the exclusion restriction in quantile regression, i.e., H: να(Y|U, V) = να(Y|U) w.p.1, where να denotes the αth (0 < α < 1) quantile. A subsampling method is suggested to acquire the critical values and justified. The tests are all found to be consistent against fixed alternatives and have discriminating power against local alternatives at root-n scale. We address this particular problem as a representative among a wide family of semiparametric model checking problems. The methodology can be carried over to other goodness-of-fit testing of semiparametric models, possibly involve non smooth functions. |
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Keywords: | Empirical processes Hypothesis testing Quantile regression Semiparametric |
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