Abstract
We propose specification tests for parametric quantile regression models versus semiparametric alternatives over a continuum of quantile levels. The test statistics are constructed as continuous functionals of a quantile-marked residual process. We show that using an orthogonal projection on the tangent space of nuisance parameters at each quantile index delivers unified asymptotic properties for tests based on different estimators. Consistency of the tests and asymptotic power under a sequence of local alternatives converging to the null at a parametric rate are also discussed. We propose a simple multiplier bootstrap procedure to carry out the tests, whose nominal levels are well approximated in our simulation study for modest sample sizes.
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