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As shown by the results of Dufour, Khalaf, Bernard and Genest (2004, Journal of Econometrics 122, 317--347), exact tests for heteroskedasticity in linear regression models can be obtained, by using Monte Carlo (MC) techniques, if either (i) it is assumed that the true form of the error distribution under homoskedasticity is known, or (ii) the null hypothesis specifies both homoskedasticity and the form of the error distribution. Non-parametric bootstrap tests of…

计数数据的分位数AI 解读

This article studies the estimation of conditional quantiles of counts. Given the discreteness of the data, some smoothness must be artificially imposed on the problem. We show that it is possible to smooth the data in a way that allows inference to be performed using standard quantile regression techniques. The performance and implementation of the estimators are illustrated by simulations and an application.