The np Package - NexTag Supports Open Source Initiatives
The np Package - NexTag Supports Open Source Initiatives
The np Package - NexTag Supports Open Source Initiatives
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<strong>np</strong>qcmstest 85Author(s)Tristen Hayfield 〈hayfield@phys.ethz.ch〉, Jeffrey S. Racine 〈racinej@mcmaster.ca〉ReferencesAitchison, J. and C.G.G. Aitken (1976), “Multivariate binary discrimination by the kernel method,”Biometrika, 63, 413-420.Koenker, R.W. and G.W. Bassett (1978), “Regression quantiles”, Econometrica, 46, 33-50.Li, Q. and J.S. Racine (2007), No<strong>np</strong>arametric Econometrics: <strong>The</strong>ory and Practice, Princeton UniversityPress.Murphy, K. M. and F. Welch (1990), “Empirical age-earnings profiles,” Journal of Labor Economics,8, 202-229.Pagan, A. and A. Ullah (1999), No<strong>np</strong>arametric Econometrics, Cambridge University Press.Racine, J.S. (2006), “Consistent specification testing of heteroskedastic parametric regression quantilemodels with mixed data,” manuscript.Wang, M.C. and J. van Ryzin (1981), “A class of smooth estimators for discrete distributions,”Biometrika, 68, 301-309.Zheng, J. (1998), “A consistent no<strong>np</strong>arametric test of parametric regression models under conditionalquantile restrictions”, Econometric <strong>The</strong>ory, 14, 123-138.Examples# EXAMPLE 1: For this example, we conduct a consistent quantile regression# model specification test for a parametric wage quantile regression# model that is quadratic in age. <strong>The</strong> work of Murphy and Welch (1990)# would suggest that this parametric quantile regression model is# misspecified.library("quantreg")data("cps71")attach(cps71)model