An encompassing test for non-nested quantile regression models
Journal
Economics Letters
Journal Issue
107
Pages
257-260
Date Issued
2010-05
Author(s)
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. © 2010 Elsevier B.V.
Type
journal article