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Threshold effect test in censored quantile regression

Author

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  • Tang, Yanlin
  • Song, Xinyuan
  • Zhu, Zhongyi
Abstract
We propose a new test for covariate-threshold caused change point in quantile regression with random censoring, based on partial subgradient. Critical values are obtained using wild bootstrap samples, where induced smoothing method is used to estimate the conditional density.

Suggested Citation

  • Tang, Yanlin & Song, Xinyuan & Zhu, Zhongyi, 2015. "Threshold effect test in censored quantile regression," Statistics & Probability Letters, Elsevier, vol. 105(C), pages 149-156.
    • Handle: RePEc:eee:stapro:v:105:y:2015:i:c:p:149-156
    DOI: 10.1016/j.spl.2015.05.019
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    References listed on IDEAS

    as
    1. Su, Liangjun & Xiao, Zhijie, 2008. "Testing for parameter stability in quantile regression models," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2768-2775, November.
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    Cited by:

    1. Junho Lee & Ying Sun & Huixia Judy Wang, 2021. "Spatial cluster detection with threshold quantile regression," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.

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