\texttt{QR.break}: an \texttt{R} package for structural breaks in quantile regression

DOI10.1515/JEM-2025-0010MaRDI QIDQ6936977zbMATH OpenFDO

Authors Zhongjun Qu, Tatsushi Oka, Samuel Messer

Publication date 28 August 2025

Published in Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/JEM-2025-0010

zbMATH Keywords

quantile regressionrepeated cross-sectionssoftwarestructural breaktime series

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• A theory of the term structure of interest rates
• Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
• Estimating structural changes in regression quantiles
• Quantile regression.
• Testing and estimating change-points in time series
• Testing for parameter stability in quantile regression models
• Testing for structural change in regression quantiles

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