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Significance Testing in Quantile Regression by Volgushev, Stanislav; Birke, Melanie; Dette, Holger; Neumeyer, Natalie is a scholarly article available to read on EtoBox.

What is Significance Testing in Quantile Regression about?

We consider the problem of testing significance of predictors in multivariate nonparametric quantile regression. A stochastic process is proposed, which is based on a comparison of the responses with a nonparametric quantile regression estimate under the null hypothesis. It is demonstrated that under the null hypothesis this process converges weakly to a centered Gaussian process and the asymptotic properties of the test under fixed and local alternatives are also discussed. In particular we show, that - in contrast to the nonparametric approach based on estimation of $L^2$-distances - the new test is able to detect local alternatives which converge to the null hypothesis with any rate $a_n \to 0$ such that $a_n \sqrt{n} \to \infty$ (here $n$ denotes the sample size). We also present a small simulation study illustrating the finite sample properties of a bootstrap version of the the corresponding Kolmogorov-Smirnov test.

Author

Volgushev, Stanislav; Birke, Melanie; Dette, Holger; Neumeyer, Natalie

Published

2012

Language

EN