Nonparametric Testing of an Exclusion Restriction in Quantile Regression

Author: Li Bo  

Publisher: Taylor & Francis Ltd

ISSN: 0361-0926

Source: Communications in Statistics: Theory and Methods, Vol.37, Iss.18, 2008-01, pp. : 2877-2889

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Using the framework proposed by Bickel et al. (2006), we provide a score-based testing method to check the exclusion restriction in quantile regression, i.e., H: να(Y|U, V) = να(Y|U) w.p.1, where να denotes the αth (0 < α < 1) quantile. A subsampling method is suggested to acquire the critical values and justified. The tests are all found to be consistent against fixed alternatives and have discriminating power against local alternatives at root-n scale. We address this particular problem as a representative among a wide family of semiparametric model checking problems. The methodology can be carried over to other goodness-of-fit testing of semiparametric models, possibly involve non smooth functions.