Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/58762 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
IZA Discussion Papers No. 6364
Verlag: 
Institute for the Study of Labor (IZA), Bonn
Zusammenfassung: 
We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data, and a restricted estimate that imposes the structure implied by the model. The procedure is straightforward to implement, is consistent against fixed alternatives, has non-trivial power against local deviations of order n1/2 from the null hypothesis, and does not require the choice of smoothing parameters. In an empirical application, we use our test to study the validity of various models for the conditional distribution of wages in the US.
Schlagwörter: 
Cramer-von Mises distance
quantile regression
distributional regression
location-scale model
bootstrap
wage distribution
JEL: 
C12
C14
C31
C52
J31
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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