Testing linearity against threshold effects: uniform inference in quantile regression
نویسندگان
چکیده
منابع مشابه
Testing linearity against threshold effects: uniform inference in quantile regression
This paper develops a uniform test of linearity against thresholds effects in the quantile regression framework. The test is based on the supremum of the Wald process over the space of quantile and threshold parameters. We establish the asymptotic null distribution of the test statistic for stationary weakly dependent processes, and propose a simulation method to approximate the critical values...
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ژورنال
عنوان ژورنال: Annals of the Institute of Statistical Mathematics
سال: 2013
ISSN: 0020-3157,1572-9052
DOI: 10.1007/s10463-013-0418-9