An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models

By Joel L. Horowitz, Vladimir Spokoiny. 2002

75 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/4a906557f653c871769905a66ec39fbef1a3e7b0

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In Statistics and Probability

Citations in the corpus

Quantile regression with varying coefficients (2007, background): “Only recently, He and Zhu [16] and Horowitz and Spokoiny [20] considered general lack-of-fit tests for linear quantile regression.”
An updated review of Goodness-of-Fit tests for regression models (2013, methodology): “An adaptative optimal rate for p = 0.5 was given by Horowitz and Spokoiny (2002).”
Handbook of survival analysis (2014, methodology): “Resampling methods that follow the idea of Parzen and Ying (1994) were shown to yield valid variance estimates and other inference (Peng and Huang, 2008). Simple bootstrapping procedures based on resampling with replacement also seem to have satisfactory performance (Portnoy, 2003; Peng, 2012). One ”
Specification Tests of Parametric Dynamic Conditional Quantiles (2010, unknown): “…Zheng (1998) has proposed a quantile regression speci(cid:133)cation test based on kernel smoothing estimators of the conditional moment E [1( Y t m ( I t 1 ; (cid:18) 0 ( (cid:11) 0 ))) 0 j I t 1 ]; see also Horowitz and Spokoiny (2002) for the median function (i.e., (cid:11) 0 = 0 : 5 ).”
Nonparametric Estimation of an Additive Quantile Regression Model (2004, methodology): “used the test of linearity for median regression models in Horowitz and Spokoiny (2002) .”
A Lack-of-Fit Test for Quantile Regression (2003, methodology): “Some authors view the types of local alternatives in the form of (9) as too restrictive (see e.g., Ingster 1993; Horowitz and Spokoiny 2002).”
Survival Analysis With Quantile Regression Models (2008, methodology): “For quantile regression models, quantitative model diagnostic approaches have been developed in addition to traditional graphical methods (see, e.g., Zheng 1998; Horowitz and Spokoiny 2002; He and Zhu 2003).”
Nonparametric inference with generalized likelihood ratio tests (2007, background): “For the regression problems, Fan (1996), Spokoiny (1996), Fan and Huang (2001), Horowitz and Spokoiny (2001, 2002) established the adaptive optimality results.”
Testing a parametric model against a nonparametric alternative with identification through instrumental variables (2004, unknown): “Mammen (1993), Hart (1997), Hong and White (1995), Horowitz and Spokoiny (2001, 2002) ,”
Discussion: Performance of Bayesian Model Averaging (2003, methodology): “Some examples from recent issues of this journal, are Horowitz and Spokoiny (2002), Pena and Rodríguez”