Quantile regression estimates and the analysis of structural breaks

DOI10.1080/14697688.2011.653387zbMath1402.62251OpenAlexW2169011231MaRDI QIDQ5247938

Marilena Furno

Publication date: 27 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.653387

zbMATH Keywords

interest ratesstatistical methodstail analysiseconometric methods

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• Tests of stationarity against a change in persistence
• Modified tests for a change in persistence
• Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
• Testing for structural change in conditional models
• Detection of change in persistence of a linear time series
• Estimating deterministic trends with an integrated or stationary noise component
• 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
• Controlling the significance levels of prediction error tests for linear regression models
• End-of-Sample Instability Tests
• Joint hypothesis specification for unit root tests with a structural break

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