Conditional Independence Specification Testing for Dependent Processes with Local Polynomial Quantile Regression

DOI10.1108/S0731-9053(2012)0000029018zbMath1452.62391OpenAlexW657606678MaRDI QIDQ5133589

Liangjun Su, Halbert White

Publication date: 10 November 2020

Published in: Essays in Honor of Jerry Hausman (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-9053(2012)0000029018

zbMATH Keywords

quantile regressionempirical processconditional independencespecification testlocal polynomialconditional exogeneity

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05)

Related Items (5)

CHARACTERISTIC FUNCTION BASED TESTING FOR CONDITIONAL INDEPENDENCE: A NONPARAMETRIC REGRESSION APPROACH ⋮ Expansion for moments of regression quantiles with applications to nonparametric testing ⋮ Testing linearity against threshold effects: uniform inference in quantile regression ⋮ Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates ⋮ A Projection-Based Nonparametric Test of Conditional Quantile Independence

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