Testing linearity against threshold effects: uniform inference in quantile regression

Autores
Galvao, Antonio F.; Kato, Kengo; Montes Rojas, Gabriel Victorio; Olmo, Jose
Año de publicación
2014
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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 weakly dependent processes, and propose a simulation method to approximate the critical values. The proposed simulation method makes the test easy to implement. Monte Carlo experiments show that the proposed test has good size and reasonable power against non-linear threshold models.
Fil: Galvao, Antonio F.. University of Iowa; Estados Unidos
Fil: Kato, Kengo. University of Tokyo; Japón
Fil: Montes Rojas, Gabriel Victorio. City University of London; Reino Unido. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Olmo, Jose. Centro Universitario de la Defensa; España
Materia
Threshold Models
Quantile Regression
Uniform Tests
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/33111
Acceder
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oai_identifier_str oai:ri.conicet.gov.ar:11336/33111
network_acronym_str CONICETDig
repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling Testing linearity against threshold effects: uniform inference in quantile regressionGalvao, Antonio F.Kato, KengoMontes Rojas, Gabriel VictorioOlmo, JoseThreshold ModelsQuantile RegressionUniform Testshttps://purl.org/becyt/ford/1.1https://purl.org/becyt/ford/1This 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 weakly dependent processes, and propose a simulation method to approximate the critical values. The proposed simulation method makes the test easy to implement. Monte Carlo experiments show that the proposed test has good size and reasonable power against non-linear threshold models.Fil: Galvao, Antonio F.. University of Iowa; Estados UnidosFil: Kato, Kengo. University of Tokyo; JapónFil: Montes Rojas, Gabriel Victorio. City University of London; Reino Unido. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Olmo, Jose. Centro Universitario de la Defensa; EspañaSpringer Heidelberg2014-04info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/33111Kato, Kengo; Olmo, Jose; Galvao, Antonio F.; Montes Rojas, Gabriel Victorio; Testing linearity against threshold effects: uniform inference in quantile regression; Springer Heidelberg; Annals of the Institute of Statistical Mathematics; 66; 2; 4-2014; 413-4390020-31571572-9052CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1007/s10463-013-0418-9info:eu-repo/semantics/altIdentifier/url/https://link.springer.com/article/10.1007%2Fs10463-013-0418-9info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T10:46:45Zoai:ri.conicet.gov.ar:11336/33111instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 10:46:45.625CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Testing linearity against threshold effects: uniform inference in quantile regression
title Testing linearity against threshold effects: uniform inference in quantile regression
spellingShingle Testing linearity against threshold effects: uniform inference in quantile regression
Galvao, Antonio F.
Threshold Models
Quantile Regression
Uniform Tests
title_short Testing linearity against threshold effects: uniform inference in quantile regression
title_full Testing linearity against threshold effects: uniform inference in quantile regression
title_fullStr Testing linearity against threshold effects: uniform inference in quantile regression
title_full_unstemmed Testing linearity against threshold effects: uniform inference in quantile regression
title_sort Testing linearity against threshold effects: uniform inference in quantile regression
dc.creator.none.fl_str_mv Galvao, Antonio F.
Kato, Kengo
Montes Rojas, Gabriel Victorio
Olmo, Jose
author Galvao, Antonio F.
author_facet Galvao, Antonio F.
Kato, Kengo
Montes Rojas, Gabriel Victorio
Olmo, Jose
author_role author
author2 Kato, Kengo
Montes Rojas, Gabriel Victorio
Olmo, Jose
author2_role author
author
author
dc.subject.none.fl_str_mv Threshold Models
Quantile Regression
Uniform Tests
topic Threshold Models
Quantile Regression
Uniform Tests
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.1
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv 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 weakly dependent processes, and propose a simulation method to approximate the critical values. The proposed simulation method makes the test easy to implement. Monte Carlo experiments show that the proposed test has good size and reasonable power against non-linear threshold models.
Fil: Galvao, Antonio F.. University of Iowa; Estados Unidos
Fil: Kato, Kengo. University of Tokyo; Japón
Fil: Montes Rojas, Gabriel Victorio. City University of London; Reino Unido. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Olmo, Jose. Centro Universitario de la Defensa; España
description 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 weakly dependent processes, and propose a simulation method to approximate the critical values. The proposed simulation method makes the test easy to implement. Monte Carlo experiments show that the proposed test has good size and reasonable power against non-linear threshold models.
publishDate 2014
dc.date.none.fl_str_mv 2014-04
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/33111
Kato, Kengo; Olmo, Jose; Galvao, Antonio F.; Montes Rojas, Gabriel Victorio; Testing linearity against threshold effects: uniform inference in quantile regression; Springer Heidelberg; Annals of the Institute of Statistical Mathematics; 66; 2; 4-2014; 413-439
0020-3157
1572-9052
CONICET Digital
CONICET
url http://hdl.handle.net/11336/33111
identifier_str_mv Kato, Kengo; Olmo, Jose; Galvao, Antonio F.; Montes Rojas, Gabriel Victorio; Testing linearity against threshold effects: uniform inference in quantile regression; Springer Heidelberg; Annals of the Institute of Statistical Mathematics; 66; 2; 4-2014; 413-439
0020-3157
1572-9052
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1007/s10463-013-0418-9
info:eu-repo/semantics/altIdentifier/url/https://link.springer.com/article/10.1007%2Fs10463-013-0418-9
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Springer Heidelberg
publisher.none.fl_str_mv Springer Heidelberg
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
_version_ 1844614509530972160
score 13.070432

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