Integrated Conditional Moment testing of quantile regression models

  • Herman J. Bierens
  • Donna K. Ginther
Part of the Studies in Empirical Economics book series (STUDEMP)


In this paper we propose a consistent test of the linearity of quantile regression models, similar to the Integrated Conditional Moment (ICM) test of Bierens (1982) and Bierens and Ploberger (1997). This test requires reestimation of the quantile regression model by minimizing the ICM test statistic with respect to the parameters. We apply this ICM test to examine the correctness of the functional form of three median regression wage equations.

Key words

Quantile regression Test for linearity Integrated conditional moment test Wage equations 


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Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • Herman J. Bierens
    • 1
    • 2
    • 3
  • Donna K. Ginther
    • 1
    • 2
    • 3
  1. 1.Department of EconomicsPennsylvania State UniversityUniversity ParkUSA
  2. 2.Research DepartmentFederal Reserve Bank of AtlantaAtlantaUSA
  3. 3.Tilburg UniversityThe Netherlands

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