Kotlarski's identity has been widely used in applied economic research based on repeated‐measurement or panel models with latent variables. However, how to conduct inference for these models has been an open question for two decades. This paper addresses this open problem by constructing a...

This paper develops a uniform test of linearity against threshold effects in the quantile regression framework. The test is based on the supremum of the Wald process over the space of quantile and threshold parameters. We establish the limiting null distribution of the test statistic for...