A consistent specification test for dynamic quantile models
Correct specification of a conditional quantile model implies that a particular conditional moment is equal to zero. We nonparametrically estimate the conditional moment function via series regression and test whether it is identically zero using uniform functional inference. Our approach is theoret...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2555 https://ink.library.smu.edu.sg/context/soe_research/article/3554/viewcontent/1727_2.pdf |
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| Institution: | Singapore Management University |
| Language: | English |