Testing for Parameter Stability in Quantile Regression Models

We propose a test for structural change of conditional distribution in dynamic regression models. The test is constructed based on time series regression quantile estimates and complements conventional parameter instability tests in least-square type regression models. Asymptotic distribution for ou...

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Bibliographic Details
Main Authors: SU, Liangjun, XIAO, Zhijie
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
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Online Access:https://ink.library.smu.edu.sg/soe_research/195
https://ink.library.smu.edu.sg/context/soe_research/article/1194/viewcontent/Testing_for_parameter_stability_2008.pdf
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Institution: Singapore Management University
Language: English