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Testing threshold effect in single-index models. (English) Zbl 07585562

Summary: This paper studies the supremum-type score test for the single-index model against a threshold single-index model. It is shown that the test weakly converges a maxima of a Gaussian process under the null hypothesis. The bootstrap method is used to tackle the bias problem and provide the \(p\)-values of our test statistic. Simulations are carried out to assess the performance of our procedure and real data examples are given for its illustration.

MSC:

62-XX Statistics
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