TY  - RPRT
        AU  - Rothe, Christoph
AU  - Wied, Dominik
        TI  - Misspecification Testing in a Class of Conditional Distributional Models
        PY  - 2012/Feb/
        PB  - Institute of Labor Economics (IZA)
        CY  - Bonn
        T2  - IZA Discussion Paper
        IS  - 6364
        UR  - https://www.iza.org/index.php/publications/dp6364
        AB  - We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data, and a restricted estimate that imposes the structure implied by the model. The procedure is straightforward to implement, is consistent against fixed alternatives, has non-trivial power against local deviations of order n^-1/2 from the null hypothesis, and does not require the choice of smoothing parameters. In an empirical application, we use our test to study the validity of various models for the conditional distribution of wages in the US.
        KW  - bootstrap
KW  - location-scale model
KW  - distributional regression
KW  - quantile regression
KW  - Cramer-von Mises distance
KW  - wage distribution
        ER  -