Threshold effect test in censored quantile regression

Yanlin Tang, Xinyuan Song and Zhongyi Zhu

Statistics & Probability Letters, 2015, vol. 105, issue C, 149-156

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.

Keywords: Covariate-threshold; Hypothesis testing; Inverse-censoring-probability-weighted quantile regression; Random censoring (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.05.019

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