Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/58762
Authors: 
Rothe, Christoph
Wied, Dominik
Year of Publication: 
2012
Series/Report no.: 
Discussion Paper series, Forschungsinstitut zur Zukunft der Arbeit 6364
Abstract: 
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.
Subjects: 
Cramer-von Mises distance
quantile regression
distributional regression
location-scale model
bootstrap
wage distribution
JEL: 
C12
C14
C31
C52
J31
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.