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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2008
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| 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 |
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| Institution: | Singapore Management University |
| Language: | English |
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