Generalized Analysis-of-variance-type Test for the Single-index Quantile Model |
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| Authors: | Rong Jiang Zhan-Gong Zhou Wei-Min Qian |
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| Institution: | 1. Department of Mathematics, Donghua University, Shanghai, China jrtrying@126.com;3. Nanhu College, Jiaxing University, Jiaxing, China;4. Department of Mathematics, Tongji University, Shanghai, China |
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| Abstract: | In this paper, we are concerned with a test for the index parameter and index function in the single-index model. Based on the estimates obtained by the quantile regression, we extend the generalized analysis-of-variance-type test to the single-index model. We investigate the asymptotic behavior of the proposed test and demonstrate that its limiting null distribution follows an asymptotically χ2-distribution. The simulation studies and real data applications are conducted to illustrate the finite sample performance of the proposed methods. |
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| Keywords: | Generalized analysis-of-variance-type test Quantile regression Single-index model X2-distribution |
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