{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,6,4]],"date-time":"2026-06-04T16:55:58Z","timestamp":1780592158623,"version":"3.54.1"},"reference-count":41,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2020,1,7]],"date-time":"2020-01-07T00:00:00Z","timestamp":1578355200000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2020,8]]},"abstract":"<jats:p>There are many environments in econometrics which require nonseparable modeling of a structural disturbance. In a nonseparable model with endogenous regressors, key conditions are validity of instrumental variables and monotonicity of the model in a scalar unobservable variable. Under these conditions the nonseparable model is equivalent to an instrumental quantile regression model. A failure of the key conditions, however, makes instrumental quantile regression potentially inconsistent. This article develops a methodology for testing the hypothesis whether the instrumental quantile regression model is correctly specified. Our test statistic is asymptotically normally distributed under correct specification and consistent against any alternative model. In addition, test statistics to justify the model simplification are established. Finite sample properties are examined in a Monte Carlo study and an empirical illustration is provided.<\/jats:p>","DOI":"10.1017\/s0266466619000288","type":"journal-article","created":{"date-parts":[[2020,1,7]],"date-time":"2020-01-07T09:16:53Z","timestamp":1578388613000},"page":"583-625","source":"Crossref","is-referenced-by-count":4,"title":["SPECIFICATION TESTING IN NONPARAMETRIC INSTRUMENTAL QUANTILE REGRESSION"],"prefix":"10.1017","volume":"36","author":[{"given":"Christoph","family":"Breunig","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2020,1,7]]},"reference":[{"key":"S0266466619000288_r13","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00461"},{"key":"S0266466619000288_r15","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00570.x"},{"key":"S0266466619000288_r10","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA10771"},{"key":"S0266466619000288_r24","doi-asserted-by":"crossref","first-page":"1533","DOI":"10.3982\/ECTA7937","article-title":"Nonparametric instrumental variable estimation of structural quantile effects","volume":"80","author":"Gagliardini","year":"2012","journal-title":"Econometrica"},{"key":"S0266466619000288_r36","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/81.4.673"},{"key":"S0266466619000288_r9","doi-asserted-by":"crossref","first-page":"277","DOI":"10.3982\/ECTA7888","article-title":"Estimation of nonparametric conditional moment models with possibly nonsmooth generalized residuals","volume":"80","author":"Chen","year":"2012","journal-title":"Econometrica"},{"key":"S0266466619000288_r39","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(97)00011-0"},{"key":"S0266466619000288_r4","first-page":"10","article-title":"Conditional central limit theorems for martingales and reversed martingales","volume":"43","author":"Awad","year":"1981","journal-title":"The Indian Journal of Statistics, Series A"},{"key":"S0266466619000288_r14","doi-asserted-by":"crossref","first-page":"785","DOI":"10.3982\/ECTA9988","article-title":"Local identification of nonparametric and semiparametric models","volume":"82","author":"Chen","year":"2014","journal-title":"Econometrica"},{"key":"S0266466619000288_r38","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.09.008"},{"key":"S0266466619000288_r17","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00454"},{"key":"S0266466619000288_r34","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2007.00786.x"},{"key":"S0266466619000288_r30","doi-asserted-by":"publisher","DOI":"10.2307\/2171724"},{"key":"S0266466619000288_r33","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000583"},{"key":"S0266466619000288_r16","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.06.002"},{"key":"S0266466619000288_r1","volume-title":"Sobolev Spaces","volume":"140","author":"Adams","year":"2003"},{"key":"S0266466619000288_r11","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466610000381"},{"key":"S0266466619000288_r6","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.09.006"},{"key":"S0266466619000288_r21","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.07.006"},{"key":"S0266466619000288_r27","doi-asserted-by":"publisher","DOI":"10.1080\/10485259408832589"},{"key":"S0266466619000288_r29","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.02.015"},{"key":"S0266466619000288_r26","doi-asserted-by":"publisher","DOI":"10.1007\/s002110050158"},{"key":"S0266466619000288_r32","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2011.09.023"},{"key":"S0266466619000288_r18","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA13639"},{"key":"S0266466619000288_r2","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00091-4"},{"key":"S0266466619000288_r40","doi-asserted-by":"crossref","first-page":"213","DOI":"10.3982\/ECTA7493","article-title":"Inference in nonparametric instrumental variables with partial identification","volume":"80","author":"Santos","year":"2012","journal-title":"Econometrica"},{"key":"S0266466619000288_r22","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.06.003"},{"key":"S0266466619000288_r25","first-page":"151","article-title":"A specification test for nonparametric instrumental variable regression","volume":"128","author":"Gagliardini","year":"2017","journal-title":"Annals of Economics and Statistics\/Annales d\u2019\u00c9conomie et de Statistique"},{"key":"S0266466619000288_r37","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-97146-4"},{"key":"S0266466619000288_r5","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-937X.2007.00458.x"},{"key":"S0266466619000288_r8","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.03.010"},{"key":"S0266466619000288_r41","volume-title":"Weak Convergence and Empirical Processes: With Applications to Statistics (Springer Series in Statistics)","author":"van der Vaart","year":"2000"},{"key":"S0266466619000288_r7","doi-asserted-by":"publisher","DOI":"10.1016\/S1573-4412(07)06076-X"},{"key":"S0266466619000288_r12","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA13559"},{"key":"S0266466619000288_r31","doi-asserted-by":"crossref","first-page":"347","DOI":"10.3982\/ECTA8662","article-title":"Applied nonparametric instrumental variables estimation","volume":"79","author":"Horowitz","year":"2011","journal-title":"Econometrica"},{"key":"S0266466619000288_r28","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2007.00801.x"},{"key":"S0266466619000288_r35","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2009.01.003"},{"key":"S0266466619000288_r19","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.01.001"},{"key":"S0266466619000288_r3","doi-asserted-by":"publisher","DOI":"10.1162\/003355399556061"},{"key":"S0266466619000288_r23","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2016.1166120"},{"key":"S0266466619000288_r20","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.06.001"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466619000288","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,12,29]],"date-time":"2020-12-29T15:13:00Z","timestamp":1609254780000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466619000288\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,1,7]]},"references-count":41,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2020,8]]}},"alternative-id":["S0266466619000288"],"URL":"https:\/\/doi.org\/10.1017\/s0266466619000288","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2020,1,7]]}}}