8 Rank tests for linear models

Handbook of Statistics

Volumn 15, Issue , 1997, Pages 175-199

  Koenker, Roger ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 70350335742     PISSN: 01697161     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S0169-7161(97)15010-6     Document Type: Review

References (60)

1. Adichie J.N. Rank tests in linear models. In: Krishnaiah P.R., and Sen P.K. (Eds). Handbook of Statistics vol. 4 (1984), Elsevier
2. Bassett G.W., and Koenker R.W. An empirical quantile function for linear models with iid errors. J. Amer. Statist. Assoc. 77 (1982) 407-415
3. Bassett G.W., and Koenker R.W. Strong consistency of regression quantiles and related empirical processes. Econometric Theory 2 (1986) 191-201
4. Beran R., and Hall P. Interpolated nonparametric prediction intervals and confidence intervals. J. Roy. Statist. Soc. (B) 55 (1993) 643-652
5. Box G.E.P., and Pierce D.A. Distribution of residual autocorrelations in integrated moving average time series models. J. Amer. Statist. Assoc. 65 (1970) 1509-1526
6. Buchinsky M. Changes in the U.S. wage structure 1963-1987: Application of quantile regression. Econometrica 62 (1994) 405-458
7. Campbell B., and Dufour J.-M. Exact nonparametric orthogonality and random walk tests. Rev. Econom. Statist. 77 (1995) 1-16
8. Chernoff H., and Savage I.R. Asymptotic normality and efficiency of certain non-parametric test statistics. Ann. Math. Statist. 29 (1958) 972-994
9. Denby L., and Martin R.D. Robust estimation of the first order autoregressive parameter. J. Amer. Statist. Assoc. 74 (1979) 140-146
10. Dickey D.A., and Fuller W.A. Distribution of the estimators for autoregressive time series with a unit root. J. Amer. Statist. Assoc. 74 (1979) 427-431
11. Draper D. Rank-based robust analysis of linear models. I. Exposition and Review. Statist Sci. 3 (1988) 239-271
12. Friedman M. The use of ranks to avoid the assumption of normality implicit in the analysis of variance. J. Amer. Statist. Assoc. 32 (1937) 675-701
13. Geertsema J.C. Sequential confidence intervals based on rank tests. Ann. Math. Statist. 41 (1970) 1016-1026
14. Gutenbrunner C. Zur Asymptotik von Regression quantileprozessen und da raus abgeleiten Statistiken. Ph.D. Dissertation (1986), Univ. Freiburg, New York
15. Gutenbrunner C., and Jurečková J. Regression quantile and regression rank score process in the linear model and derived statistics. Ann. Statist. 20 (1992) 305-330
16. Gutenbrunner C., Jurečková J., Koenker R., and Portnoy S. Tests of linear hypotheses based on regression rank scores. J. Nonparametric Statist. 2 (1993) 307-331
17. Gutenbrunner C. Tests for heteroscedasticity based on regression quantiles and regression rank scores. In: Mandl P., and Husková M. (Eds). Asymptotic Statistics: Proceedings of the 5th Prague Symposium. Physica-Verlag, Heidleberg (1994)
18. Gutenbrunner C., Jurečková J., and Koenker R. Regression rank tests for heteroscedasticity preprint (1995)
19. Hahn J. Bootstrapping quantile regression estimators. Econometric Theory 11 (1995) 105-121
20. Hájek J. A Course in Nonparametric Statistics (1969), Holden-Day
21. Hájek J. Asymptotically most powerful rank-order tests. Ann. Math. Statist. 33 (1962) 1124-1147
22. Hájek J. Extension of the Komogorov-Smirnov test to regression alternatives. In: Neyman J., and LeCam L. (Eds). Proceedings of the Bernoulli-Bayes-Laplace Seminar. Springer-Verlag (1965)
23. Hájek J., and Šidák Z. Theory of Rank Tests (1967), Academia, San Francisco
24. Hallin M., Ingenbleek J.-F., and Puri M.L. Linear serial rank tests for randomness against ARMA alternatives. Ann. Statist. 13 (1985) 1156-1181
25. Hallin M., Ingenbleek J.-F., and Puri M.L. Linear and quadratic serial rank tests for randomness against ARMA alternatives. J. Time Ser. Anal. 8 (1987) 409-424
26. Hallin M., and Puri M.L. Rank tests for time-series analysis: a survey. In: Brillinger, et al. (Ed). New Directions in Time Ser. Anal. 45 (1992) 111-145
27. Hallin M., and Puri M.L. Aligned rank tests for linear models with autocorrelated error terms. J. Multivar. Anal. 51 (1994) 318-337
28. preprint. Hasan M.N., and Koenker R. Robust rank tests of the unit root hypothesis (1994)
29. to appear. Hercé M. Asymptotic theory of LAD estimation in a unit root process with finite variance errors. Econometric Theory (1996)
30. Hettmansperger T.P. Statistical inference based on ranks (1984), Wiley, Prague
31. Hodges J.L., and Lehmann E.L. The efficiency of some nonparametric competitors of the t-test. Ann. Math. Statist. 27 (1956) 324-335
32. Hoeffding W. A class of statistics with asymptotically normal distribution. Ann. Math. Statist. 19 (1948) 293-325
33. Hotelling H., and Pabst M.R. Rank correlation and tests of significance involving no assumption of normality. Ann. Math. Statist. 7 (1936) 29-43
34. Husková M. Some sequential procedures based on regression rank scores. J. Nonparametric Statist. 3 (1994) 285-298
35. Jurečková J. Tests of Kolmogorov-Smirnov type based on regression rank scores. Transactions of the 11th Prague Conference on Information Theory, Statistical Decision Functions, and Random Processes (1992) 41-48
36. Kendall M.G. A new measure of rank correlation. Biometrika 30 (1938) 81-93
37. Koenker R., and Bassett G. Regression quantiles. Econometrica 46 (1978) 33-50
38. Koenker R., and Bassett G. Robust Tests for Heteroscedasticity Based on Regression Quantiles. Econometrica 50 (1982) 43-61
39. 1 estimation. Econometrica 50 (1982) 1577-1584
40. Koenker R., and d'Orey V. Computing regression quantiles. Appl. Statist. 36 (1987, 1993) 383-393
41. Koenker R., and d'Orey V. Computing regression quantiles. Appl. Statist. 43 (1987, 1993) 410-414
42. Koenker R.W., and Portnoy S. L-Estimation for the linear model. J. Amer. Statist. Assoc. 82 (1987) 851-857
43. Koenker R. Confidence intervals for regression quantiles. In: Mandl P., and Husková M. (Eds). Asymptotic Statistics: Proceedings of the 5th Prague Symposium (1994), Physica-Verlag, New York
44. to appear. Koenker R., and Zhao Q. Conditional quantile estimation and inference for ARCH models. Econometric Theory (1995)
45. Koul H.L. Asymptotic behavior of Wilcoxon-type confidence regions in multiple linear regression. Ann. Math. Statist. 40 (1969) 1950-1979
46. Koul H.L., and Saleh A.K.M.E. Autoregression quantiles and related rank score processes. Ann. Statist. 23 (1995) 670-689
47. Koul H.L., and Mukherjee. Regression quantiles and related processes under long range dependent errors. J. Multivar. Anal. 51 (1994) 318-337
48. Kreiss J.-P. Testing linear hypothesis in autoregressions. Ann. Statist. 18 (1990) 1470-1482
49. Lehmann E.L. Nonparametric confidence intervals for a shift parameter. Ann. Statist. 34 (1963) 1507-1512
50. Lehmann E.L. Nonparametrics (1975), Holden-Day, Heidleberg
51. Mann H.B., and Whitney D.R. On a test of whether one of two random variables is stochastically larger than the other. Ann. Math. Statist. 18 (1947) 50-60
52. Mosteller F., and Rourke R.E.K. Sturdy Statistics (1973), Addison-Wesley, San Francisco
53. Parzen M.I.L.J., Wei, and Ying Z. A resampling method based on pivotal estimating functions. Biometrika 81 (1994) 341-350
54. Portnoy S. Asymptotic behavior of the number of regression quantile breakpoints. SIAM J. Sci. Statist. Comp. 12 (1991) 867-883
55. Phillips P.C.B., and Perron P. Testing for a unit root in time series regression. Biometrika 75 (1988) 335-346
56. Puri M.L., and Sen P.K. Nonparametric Methods in General Linear Models (1985), J. Wiley, Reading, Mass
57. Serfling R.J. Approximation Theorems in Mathematical Statistics (1980), Wiley, New York
58. Spearman C. The proof and measurement of association between two things. Amer. J. Psychol. 15 (1904) 72-101
59. Welsh A.H. Asymptotically efficient estimation of the sparsity function at a point. Statist. Prob. Letters 6 (1988) 427-432
60. Wilcoxon F. Individual comparisons by ranking methods. Biometrics 1 (1945) 80-83