Specification tests of parametric dynamic conditional quantiles

@inproceedings{Escanciano2010SpecificationTO,
  title={Specification tests of parametric dynamic conditional quantiles},
  author={J. Carlos Escanciano and Carlos Velasco},
  year={2010}
}
This article proposes omnibus speci…cation tests of parametric dynamic quantile regression models. Contrary to the existing procedures, we allow for a ‡exible and general speci…cation framework where a possibly continuum of quantiles are simultaneously speci…ed. This is the case for many econometric applications for both time series and cross section data which require a global diagnostic tool. We study the asymptotic distribution of the test statistics under fairly weak conditions on the… CONTINUE READING

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