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: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2009
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| 在線閱讀: | 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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| 機構: | Singapore Management University |
| 語言: | English |