An encompassing test for non-nested quantile regression models
作者： Chung-Ming Kuan , Hsin-Yi Lin
DOI: 10.1016/J.ECONLET.2010.01.040
关键词:
摘要: We propose an encompassing test for non-nested linear quantile regression models and show that it has asymptotic χ2 distribution. It is also shown the proposed a rank score in comprehensive model under conditional homogeneity. Our simulation results indicate performs very well finite samples.
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sci-hub.se 参考文章(42)
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