Quantile Regression

1Test for the Equality of Medians by Series/Group of Variables

1.1 Introduction

I consider the test for equality of medians of a numerical or ordinal endogenous or objective variable by series/group of categorical variables as the earliest nonparametric test statistic. It also is called the distribution free test because it does not rely on the population distribution.

EViews provides a specific test for equality of the medians of any numerical or ordinal categorical variable, say Y1, categorized or classified by series/group of variables, either numerical or categorical. However, the numerical predictors will be directly transformed to ordinal categorical factors. The steps of the analysis are as follows:

1. Present the values of the variable Y1 on‐screen.
2. Select View/Descriptive Statistics & Tests/Equality Test by Classification…. The dialog shown in Figure 1.1 appears on‐screen.
3. Insert the Series/Group for classify, select the Median option, and then click OK to obtain the output of several nonparametric test statistics.

This chapter presents various examples of alternative tests, either unconditional or conditional tests, with categorical and/or numerical predictors, which will be directly transformed to ordinal variables.

1.2 Test for Equality of Medians of Y1 by Categorical Variables

This section presents examples of alternative test statistics for Y1 by categorical variables using the Data_Faad.wf1 file, from one of my student's thesis, as presented in Figure 1.2. The ...