Galvao, Antonio; Kato, Kengo; Montes-Rojas, Gabriel; … - In: Annals of the Institute of Statistical Mathematics 66 (2014) 2, pp. 413-439
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...
