Integrated Conditional Moment testing of quantile regression models

By H. Bierens, D. Ginther. 2001

60 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/881d890dbde9a8b46d6296abcae97ee179a2714e

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In Economics and Econometrics

Citations in the corpus

Specification Tests of Parametric Dynamic Conditional Quantiles (2010, unknown): “…of the limit process of R n and can be avoided if we replace exp( ix 0 I t 1 ) by exp( ix 0 (cid:30) ( I t 1 )) ; with (cid:30) ( ) a one-to-one bounded mapping (see e.g. Bierens and Ginther, 2001) : A1(d) is necessary for the tightness of the process R 1 n and is required in Koul and Stute (1999).”
Testing conditional moment restrictions (2003, unknown): “and proceed like in the previous section for testing ( 9 ) using the empirical process �n� (x) = p nT�n (x).”
Consistent Tests of Conditional Moment Restrictions (2006, methodology): “Estimation under conditional moment restrictions is considered by CHAMBERLAIN [1987], NEWEY [1990], ROBINSON [1991], and DOMINGUEZ and LOBATO [2004] among others. Checking the validity of these moment restrictions is a central issue. Among the most popular specifi cation tests, M-tests, as proposed ”
Multivariate convex regression with adaptive partitioning (2011, methodology): “The data are from the 1988 Current Population Survey (CPS); they originally appeared in Bierens and Ginther (2001) and can be accessed as ex1029 in the Sleuth2 package in R.”
An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models (2002, methodology): “The test of Bierens and Ginther (2000) has nontrivial power (that is, power exceeding the probability that a correct H0 is rejected) against local alternatives for which n / nƒ1=2.”
Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check (2006, background): “See, e.g., Zheng (1998), Engle and Manganelli (2004), Bierens and Ginther (2001).”
Misspecification Testing in a Class of Conditional Distributional Models (2013, unknown): “From a practitioner’s point of view, misspecification is a serious concern in this context, as the conditional quantiles of the wage distribution are, for example, known to be extremely flat in the vicinity of the legal minimum wage, and might thus not be described adequately by a linear…”