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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Main Authors: SU, Liangjun, XIAO, Zhijie
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Language:English
Published: Institutional Knowledge at Singapore Management University 2009
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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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spelling sg-smu-ink.soe_research-30452018-09-03T07:21:16Z Testing structural change in conditional distributions via quantile regressions SU, Liangjun XIAO, Zhijie 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 sums of generalized residuals from quantile regressions and have power against local alternatives at rate n−1/2. We derive the limiting distributions for our tests under the null hypothesis of no structural change and a sequence of local alternatives. The proposed tests apply to a wide range of dynamic models, including time series regressions with m.d.s. errors, as well as models with serially correlated errors. To deal with possible correlations in the error process, we also propose a simulation method to obtain the p-values for our tests. Finally, Monte Carlo simulations suggest that our tests behave well in finite samples. 2009-09-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/2046 https://ink.library.smu.edu.sg/context/soe_research/article/3045/viewcontent/distribution_break092209.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Conditional distribution Structural change Local polynomial regression Quantile regression Block bootstrap Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Conditional distribution
Structural change
Local polynomial regression
Quantile regression
Block bootstrap
Econometrics
spellingShingle Conditional distribution
Structural change
Local polynomial regression
Quantile regression
Block bootstrap
Econometrics
SU, Liangjun
XIAO, Zhijie
Testing structural change in conditional distributions via quantile regressions
description 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 sums of generalized residuals from quantile regressions and have power against local alternatives at rate n−1/2. We derive the limiting distributions for our tests under the null hypothesis of no structural change and a sequence of local alternatives. The proposed tests apply to a wide range of dynamic models, including time series regressions with m.d.s. errors, as well as models with serially correlated errors. To deal with possible correlations in the error process, we also propose a simulation method to obtain the p-values for our tests. Finally, Monte Carlo simulations suggest that our tests behave well in finite samples.
format text
author SU, Liangjun
XIAO, Zhijie
author_facet SU, Liangjun
XIAO, Zhijie
author_sort SU, Liangjun
title Testing structural change in conditional distributions via quantile regressions
title_short Testing structural change in conditional distributions via quantile regressions
title_full Testing structural change in conditional distributions via quantile regressions
title_fullStr Testing structural change in conditional distributions via quantile regressions
title_full_unstemmed Testing structural change in conditional distributions via quantile regressions
title_sort testing structural change in conditional distributions via quantile regressions
publisher Institutional Knowledge at Singapore Management University
publishDate 2009
url 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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