Specification testing in nonparametric instrumental quantile regression

Breunig, Christoph

URL: https://edoc.hu-berlin.de/bitstream/handle/18452/5...
Additional URL: https://ideas.repec.org/p/hum/wpaper/sfb649dp2016-...
Document Type: Working paper
Year of publication: 2016
The title of a journal, publication series: SFB 649 Discussion Paper
Volume: 16/032
Place of publication: Berlin
Publishing house: SFB 649, Humboldt-Univ.
ISSN: 1860-5664
Publication language: English
Institution: Außerfakultäre Einrichtungen > Graduate School of Economic and Social Sciences - CDSE (Economics)
Subject: 330 Economics
Abstract: There are many environments in econometrics which require nonseparable modeling of a structural disturbance. In a nonseparable model, key conditions are validity of instrumental variables and monotonicity of the model in a scalar unobservable. Under these conditions the nonseparable model is equivalent to an instrumental quantile regression model. A failure of the key conditions, however, makes instrumental quantile regression potentially inconsistent. This paper develops a methodology for testing the hypothesis whether the instrumental quantile regression model is correctly speci ed. Our test statistic is asymptotically normally distributed under correct speci cation and consistent against any alternative model. In addition, test statistics to justify model simpli cation are established. Finite sample properties are examined in a Monte Carlo study and an empirical illustration.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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