Tests for structural break in quantile regressions

DOI10.1007/S10182-012-0188-3MaRDI QIDQ1633260zbMATH OpenOpenAlexFDO

Authors Marilena Furno

Publication date 19 December 2018

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10182-012-0188-3

zbMATH Keywords

quantile regressionstructural breaktest

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20)

Recommendations

• Parameter instability in quantile regression
• Quantile regression estimates and the analysis of structural breaks
• Testing for structural change in regression quantiles
• Testing for parameter stability in quantile regression models
• Estimating structural changes in regression quantiles

Cites work

• A Lack-of-Fit Test for Quantile Regression
• An invariant sign test for random walks based on recursive median adjustment
• ASYMPTOTICALLY EFFICIENT MEDIAN REGRESSION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
• Bootstrap in detection of changes in linear regression
• Estimating structural changes in regression quantiles
• Goodness of Fit and Related Inference Processes for Quantile Regression
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• Least absolute error estimation in the presence of serial correlation
• Parameter instability in quantile regression
• Quantile regression analysis of the Italian school system
• Quantile regression.
• Regression Quantiles
• Robust GMM tests for structural breaks
• Testing for structural change in regression quantiles
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Tests of Linear Hypotheses and l"1 Estimation
• Trimmed Least Squares Estimation in the Linear Model

Cited in

(11)

• Sequential change point detection in linear quantile regression models
• Testing for structural change in regression quantiles
• Parameter instability in quantile regression
• Estimation in quantile regression models with jump discontinuities
• Quantile regression estimates and the analysis of structural breaks
• Testing for Breaks in Regression Models with Dependent Data
• Saddlepoint tests for quantile regression
• A consistent nonparametric test for the structure change in quantile regression
• Maximum likelihood estimation for quantile autoregression models with Markovian switching
• 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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