Wartungsarbeiten: Am 16.01.2025 von ca. 8:00 bis 11:00 Uhr steht Ihnen das System nicht zur Verfügung. Bitte stellen Sie sich entsprechend darauf ein.gsarbeiten
 

Flexible specification testing in quantile regression models

Simple item page
dc.contributor.authorKutzker, Tim
dc.contributor.authorKlein, Nadja
dc.contributor.authorWied, Dominik
dc.date.accessioned2024-11-21T09:13:14Z
dc.date.available2024-11-21T09:13:14Z
dc.date.issued2023-08-01
dc.description.abstractWe propose three novel consistent specification tests for quantile regression models which generalize former tests in three ways. First, we allow the covariate effects to be quantile-dependent and nonlinear. Second, we allow parameterizing the conditional quantile functions by appropriate basis functions, rather than parametrically. We are thereby able to test for general functional forms, while retaining linear effects as special cases. In both cases, the induced class of conditional distribution functions is tested with a Cramér–von Mises type test statistic for which we derive the theoretical limit distribution and propose a bootstrap method. Third, a modified test statistic is derived to increase the power of the tests. We highlight the merits of our tests in a detailed MC study and two real data examples. Our first application to conditional income distributions in Germany indicates that there are not only still significant differences between East and West but also across the quantiles of the conditional income distributions, when conditioning on age and year. The second application to data from the Australian national electricity market reveals the importance of using interaction effects for modeling the highly skewed and heavy-tailed distributions of energy prices conditional on day, time of day and demand.en
dc.identifier.urihttp://hdl.handle.net/2003/42797
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-24630
dc.language.isoen
dc.relation.ispartofseriesScandinavian journal of statistics; 51(1)
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectB-splinesen
dc.subjectCramér–von Mises test statisticen
dc.subjectdistribution regressionen
dc.subjectseries termsen
dc.subjectspecification testsen
dc.subject.ddc310
dc.titleFlexible specification testing in quantile regression modelsen
dc.typeText
dc.type.publicationtypeArticle
dcterms.accessRightsopen access
eldorado.secondarypublicationtrue
eldorado.secondarypublication.primarycitationKutzker, T., Klein, N., & Wied, D. (2024). Flexible specification testing in quantile regression models. Scand J Statist, 51(1), 355–383. https://doi.org/10.1111/sjos.12671
eldorado.secondarypublication.primaryidentifierhttps://doi.org/10.1111/sjos.12671

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Scandinavian J Statistics - 2023 - Kutzker - Flexible specification testing in quantile regression models.pdf
Size:
2.31 MB
Format:
Adobe Portable Document Format
Description:
DNB
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
4.82 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Fakultät für Statistik