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We consider the problem of testing significance of predictors in quantile regression, where the sample size n and the number of predictors are allowed to increase together. Unlike the quantile regression analysis for the τ th quantile at a given τ ∈ ( 0 , 1 ) , we aim to detect any covariate that is significant for the conditional quantiles at any level of interest in a given region, τ ∈ Δ...
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