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摘要翻译：
计量经济学中有许多环境要求对结构扰动进行不可分离的建模。在具有内生回归的不可分模型中，关键条件是工具变量的有效性和模型在标量不可观测变量中的单调性。在这些条件下，不可分模型等价于工具分位数回归模型。然而，关键条件的失败使得工具分位数回归可能不一致。本文提出了一种检验工具分位数回归模型是否正确的方法。我们的检验统计量在正确的规格下是渐近正态分布的，并且对任何替代模型都是一致的。此外，还建立了检验统计量来证明模型简化的合理性。在蒙特卡罗研究中检验了有限样本的性质，并提供了一个经验说明。
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英文标题：
《Specification Testing in Nonparametric Instrumental Quantile Regression》
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作者：
Christoph Breunig
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最新提交年份：
2019
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
There are many environments in econometrics which require nonseparable modeling of a structural disturbance. In a nonseparable model with endogenous regressors, key conditions are validity of instrumental variables and monotonicity of the model in a scalar unobservable variable. Under these conditions the nonseparable model is equivalent to an instrumental quantile regression model. A failure of the key conditions, however, makes instrumental quantile regression potentially inconsistent. This paper develops a methodology for testing the hypothesis whether the instrumental quantile regression model is correctly specified. Our test statistic is asymptotically normally distributed under correct specification and consistent against any alternative model. In addition, test statistics to justify the model simplification are established. Finite sample properties are examined in a Monte Carlo study and an empirical illustration is provided.
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PDF链接：
https://arxiv.org/pdf/1909.10129
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