This paper proposes a nonparametric, kernel-based test of parametric quantile regression models. The test statistic has a limiting standard normal distribution if the parametric quantile model is ...

These tests use residuals from Park's (1992, Econometrica 60, 119-143) canonical cointegrating regression (CCR) and the leads-and-lags regression of Saikkonen (1991, Econometric Theory 9, 1-21) and ...