A Lack-of-Fit Test for Quantile Regression

By Xuming He, Li-xing Zhu. 2003

163 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/590104bfdd8fad1e146353bc928282983a49ef9e

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In Artificial Intelligence

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Citations in the corpus

Power Transformation Toward a Linear Regression Quantile (2007, methodology): “By theorem 3.1 of He and Zhu (2003), under the null hypothesis H∗0 , R∗n(t) converges to the Gaussian process R(t) for almost all sequences {xj, yj}.”
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.”
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).”
Quantile Correlations and Quantile Autoregressive Modeling (2012, unknown): “This fact has been used by He and Zhu (2003) and Mu and He (2007), and it also motivates us to define the quantile covariance given below.”
Misspecification Testing in a Class of Conditional Distributional Models (2013, unknown): “…1990; Härdle and Mammen 1993; Bierens and Ploberger 1997; Stute 1997; Horowitz and Spokoiny 2001) and for the conditional quantile function at one particular quantile, such as the median (see, e.g., Zheng 1998; Bierens and Ginther 2001; Horowitz and Spokoiny 2002; He and Zhu 2003; Whang 2006).”
Estimation of Extreme Conditional Quantiles Through Power Transformation (2013, unknown): “To further check the adequacy of Model (2.4) with log transformation, we perform a lack-of-fit test using the method developed by He and Zhu (2003).”
Instrumental variable quantile regression: A robust inference approach (2008, methodology): “3) follows by adopting standard arguments for quantile regression processes, for instance those of Gutenbrunner and Jurečková (1992) and Angrist, Chernozhukov, and Fernandez (2005).”
Conditional growth charts (2006, methodology): “Goodness-of-fit tests developed for linear quantile regression models by Koenker and Xiao [27] and He and Zhu [20] may be extended to semiparametric models, but they are not made for model assessment over a set of quantiles.”