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Testing linearity against threshold effects: uniform inference in quantile regression |
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| Authors: | Antonio F Galvao Kengo Kato Gabriel Montes-Rojas Jose Olmo |
| Institution: | 1. Department of Economics, University of Iowa, W210 Pappajohn Business Building, 21 E. Market Street, Iowa, IA, 52242, USA 2. Graduate School of Economics, University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo, 113-0033, Japan 3. Department of Economics, City University London, D306 Social Sciences Bldg, Northampton Square, London, EC1V 0HB, UK 4. Centro Universitario de la Defensa and ARAID, Academia General Militar, Ctra. Huesca s/n, 50003, Zaragoza, Spain |
| Abstract: | 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 stationary weakly dependent processes, and propose a simulation method to approximate the critical values. The proposed simulation method makes the test easy to implement. Monte Carlo experiments show that the proposed test has good size and reasonable power against non-linear threshold models. |
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