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...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2008
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |
| id |
sg-smu-ink.soe_research-1194 |
|---|---|
| record_format |
dspace |
| spelling |
sg-smu-ink.soe_research-11942018-05-07T06:36:09Z Testing for Parameter Stability in Quantile Regression Models SU, Liangjun XIAO, Zhijie 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 our test under the null hypothesis is derived. 2008-11-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/195 info:doi/10.1016/j.spl.2008.03.018 https://ink.library.smu.edu.sg/context/soe_research/article/1194/viewcontent/Testing_for_parameter_stability_2008.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Econometrics Economics |
| institution |
Singapore Management University |
| building |
SMU Libraries |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
SMU Libraries |
| collection |
InK@SMU |
| language |
English |
| topic |
Econometrics Economics |
| spellingShingle |
Econometrics Economics SU, Liangjun XIAO, Zhijie Testing for Parameter Stability in Quantile Regression Models |
| description |
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 our test under the null hypothesis is derived. |
| format |
text |
| author |
SU, Liangjun XIAO, Zhijie |
| author_facet |
SU, Liangjun XIAO, Zhijie |
| author_sort |
SU, Liangjun |
| title |
Testing for Parameter Stability in Quantile Regression Models |
| title_short |
Testing for Parameter Stability in Quantile Regression Models |
| title_full |
Testing for Parameter Stability in Quantile Regression Models |
| title_fullStr |
Testing for Parameter Stability in Quantile Regression Models |
| title_full_unstemmed |
Testing for Parameter Stability in Quantile Regression Models |
| title_sort |
testing for parameter stability in quantile regression models |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2008 |
| url |
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 |
| _version_ |
1770569063623294976 |