Inference on multiple quantiles in regression models by a rank-score approach

Abstract

This paper tackles the challenge of performing multiple quantile regressions across different quantile levels and the associated problem of controlling the familywise error rate, an issue that is generally overlooked in practice. We propose a multivariate extension of the rank-score test and embed it within a closed-testing procedure to efficiently account for multiple testing. Then we further generalize the multivariate test to enhance statistical power against alternatives in selected directions. Theoretical foundations and simulation studies demonstrate that our method effectively controls the familywise error rate while achieving higher power than traditional corrections, such as Bonferroni.