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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/60956


    Title: An Encompassing Test for Non-Nested Quantile Regression Models
    Authors: Lin,Hsin-yi;Kuan,Chung-Ming
    Contributors: 政大經濟系
    Keywords: Encompassing test;Non-nested model;Quantile regression;Rank score test
    Date: 2010-05
    Issue Date: 2013-09-16 17:30:52 (UTC+8)
    Abstract: We propose an encompassing test for non-nested linear quantile regression models and show that it has an asymptotic χ2 distribution. It is also shown that the proposed test is a regression rank score test in a comprehensive model under conditional homogeneity. Our simulation results indicate that the proposed test performs very well in finite samples.
    Relation: Economics Letters, 107(2), 257-260
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.econlet.2010.01.040
    DOI: 10.1016/j.econlet.2010.01.040
    Appears in Collections:[經濟學系] 期刊論文

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