 Interval quantile correlations with applications to testing high-dimensional quantile effectsYaowu Zhang, Yeqing Zhou and Liping Zhu Journal of Econometrics, 2025, vol. 249, issue PA Abstract: In this article, we propose interval quantile correlation and interval quantile partial correlation to measure the association between two random variables over an interval of quantile levels. We construct efficient estimators for the proposed correlations, and establish their asymptotic properties under the null and alternative hypotheses. We further use the interval quantile partial correlation to test for the significance of covariate effects in high-dimensional quantile regression when a subset of covariates are controlled. We calculate marginal interval quantile partial correlations for each covariate, then aggregate them to construct a sum-type test statistic. The null distribution of our proposed test statistic is asymptotically standard normal. We use extensive simulations and an application to illustrate that our proposed test, which pools information across an interval of quantile levels to enhance power performances, is very effective in detecting quantile effects. Keywords: Interval quantile; Partial correlation; Quantile regression (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:249:y:2025:i:pa:s0304407624002732 DOI: 10.1016/j.jeconom.2024.105922 Access Statistics for this article Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson More articles in Journal of Econometrics from Elsevier |
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