Testing linearity against threshold effects: uniform inference in quantile regression
This paper develops a uniform test of linearity against threshold 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 limiting null distribution of the test statistic for stationary...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
2014-04.
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| Subjects: | |
| Online Access: | Get fulltext |