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- W3124920299 abstract "This paper is concerned with inference about a function g that is identified by a conditional quantile restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test is not subject to the ill-posed inverse problem of nonparametric instrumental variables estimation. Under mild conditions, the test is consistent against any alternative model. In large samples, its power is arbitrarily close to 1 uniformly over a class of alternatives whose distance from the null hypothesis is O ( n 1/2 ), where n is the sample size. Monte Carlo simulations illustrate the finite-sample performance of the test." @default.
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- W3124920299 date "2007-02-01" @default.
- W3124920299 modified "2023-09-24" @default.
- W3124920299 title "Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative" @default.
- W3124920299 doi "https://doi.org/10.1920/wp.cem.2007.0207" @default.
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