Abstract
Within the framework of smoothed generalized method of moments for quantile models, including instrumental variables quantile regression as a special case, a distance metric hypothesis test and an overidentification test are proposed. The asymptotoic validity including the consistency of the distance metric hypothesis test are established. Simulations show reasonable finite-sample performance of both proposed tests in terms of size and power. In an empirical example, the proposed tests are applied to test the discount factor and elasticity of intertemporal substitution parameters in quantile Euler equations and overall the quantile Euler equation itself.
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