An encompassing test for non-nested quantile regression models

C-Tier
Journal: Economics Letters
Year: 2010
Volume: 107
Issue: 2
Pages: 257-260

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose an encompassing test for non-nested linear quantile regression models and show that it has an asymptotic [chi]2 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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:107:y:2010:i:2:p:257-260
Journal Field
General
Author Count
2
Added to Database
2026-01-25