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Threshold effect test in censored quantile regression

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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

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