In this paper, we consider parameter estimation, kink points testing and statistical inference for a longitudinal multi-kink expectile regression model with nonignorable dropout. In order to accommodate both within-subject correlations and nonignorable dropout, the bias-corrected generalized estimating equations are constructed by combining the inverse probability weighting and quadratic inference function approaches. The estimators for the kink locations and regression coefficients are obtained by using the generalized method of moments. A selection procedure based on a modified BIC is applied to estimate the number of kink points. We theoretically demonstrate the number selection consistency of kink points and the asymptotic normality of all estimators. A weighted cumulative sum type statistic is proposed to test the existence of kink effects at a given expectile, and its limiting distributions are derived under both the null and the local alternative hypotheses. Simulation studies show that the proposed estimators and test have desirable finite sample performance in both homoscedastic and heteroscedastic errors. An application to the Nation Growth, Lung and Health Study dataset is also presented.

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To cite this article: Dongyu Li & Lei Wang (2024) Estimation and inference for multi-kink expectile regression with nonignorable dropout, Statistical Theory and Related Fields, 8:2, 136-151, DOI: 10.1080/24754269.2024.2302763

To link to this article: https://doi.org/10.1080/24754269.2024.2302763