分位数回归的光滑经验似然
Smoothed Empirical Likelihood Inference for Quantile Regression
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摘要: 对线性分位数回归模型参数的检验问题,文献证明了用最小绝对距离法~(LAD~法)~及光滑经验似然法~(SEL~法)~构造的检验统计量在原假设下都依分布收敛到~\chi_M^2.本文证明在局部备择假设下这两个检验统计量都依分布收敛到非中心卡方分布.文中用随机模拟比较了两种方法在局部备择假设下的表现, 模拟结果表明在合理控制犯第一类错误的前提下,用~SEL~法构造的检验比用~LAD~法构造的检验更有效.Abstract: For linear quantile regression model, this paper proves that the test statistics, besed on smoothed empirical likelihood (SEL) method and least absolute deviation (LAD) method, both converge weakly to a noncentral Chi-square distribution under the local alternatives H_1:\beta=\beta_0+a_n, where \beta is the true parameter. Simulation results show that the SEL method is more efficient than the LAD method.