Testing structural change in conditional distributions via quantile regressions

Testing structural change in conditional distributions via quantile regressions

We propose tests for structural change in conditional distributions via quantile regressions. To avoid misspecification on the conditioning relationship, we construct the tests based on the residuals from local polynomial quantile regressions. In particular, the tests are based upon the cumulative su...

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Bibliographic Details
Main Authors: SU, Liangjun, XIAO, Zhijie
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
Conditional distribution
Structural change
Local polynomial regression
Quantile regression
Block bootstrap
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2046
https://ink.library.smu.edu.sg/context/soe_research/article/3045/viewcontent/distribution_break092209.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2046
https://ink.library.smu.edu.sg/context/soe_research/article/3045/viewcontent/distribution_break092209.pdf

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