Parameter instability in quantile regression

DOI10.1177/1471082X0700700405MaRDI QIDQ4970897zbMATH OpenOpenAlexFDO

Authors Marilena Furno

Publication date 7 October 2020

Published in Statistical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/1471082x0700700405

zbMATH Keywords

likelihood ratio testquantile regressionrobustnessstructural break

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08)

Recommendations

• Tests for structural break in quantile regressions
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Cites work

• A Lack-of-Fit Test for Quantile Regression
• Bootstrap in detection of changes in linear regression
• Controlling the significance levels of prediction error tests for linear regression models
• End-of-Sample Instability Tests
• Goodness of Fit and Related Inference Processes for Quantile Regression
• scientific article; zbMATH DE number 1735137 (Why is no real title available?)
• Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
• Robust GMM tests for structural breaks
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Tests of Linear Hypotheses and l"1 Estimation
• Tests of linear hypotheses based on regression rank scores

Cited in

(7)

• Tests for structural break in quantile regressions
• Sequential change point detection in linear quantile regression models
• Quantile regression analysis of the Italian school system
• Quantile regression estimates and the analysis of structural breaks
• A consistent nonparametric test for the structure change in quantile regression
• Sequential change point detection for high‐dimensional data using nonconvex penalized quantile regression
• Testing for parameter stability in quantile regression models

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