Testing for parameter stability in quantile regression models
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Publication:952875
DOI10.1016/J.SPL.2008.03.018zbMATH Open1154.62370OpenAlexW2150977708MaRDI QIDQ952875FDOQ952875
Authors: Liangjun Su, Zhijie Xiao 
Publication date: 14 November 2008
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/195
Recommendations
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12)
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- Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
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Cited In (39)
- Testing for common breaks in a multiple equations system
- Bent-cable quantile regression model
- Conditional quantile change test for time series based on support vector regression
- Quantile regression on quantile ranges -- a threshold approach
- Estimating structural changes in regression quantiles
- Unit root quantile autoregression testing using covariates
- Monitoring parameter change for time series models with application to location-Scale heteroscedastic models
- Saddlepoint tests for quantile regression
- Testing linearity against threshold effects: uniform inference in quantile regression
- Testing for structural change in regression quantiles
- A consistent nonparametric test for the structure change in quantile regression
- Tests for structural break in quantile regressions
- Testing for parameter instability in predictive regression models
- Threshold quantile autoregressive models
- Composite change point estimation for bent line quantile regression
- Quantile regression estimates and the analysis of structural breaks
- Maximum likelihood estimation for quantile autoregression models with Markovian switching
- Bootstrap tests for structural change with infinite variance observations
- Test for conditional quantile change in GARCH models
- Threshold effect test in censored quantile regression
- Test for conditional quantile change in general conditional heteroscedastic time series models
- Testing Models With Multiple Equilibria by Quantile Methods
- Right-tail information in financial markets
- Testing for parameter stability in a regression model with AR(1) errors
- Detection and estimation of structural change in heavy-tailed sequence
- A quasi-Bayesian change point detection with exchangeable weights
- Assessing model adequacy in possibly misspecified quantile regression
- Sequential change point detection in linear quantile regression models
- Segmented model selection in quantile regression using the minimum description length principle
- Specification tests of parametric dynamic conditional quantiles
- Common threshold in quantile regressions with an application to pricing for reputation
- Alternative Tests for Parameter Stability
- Real time change-point detection in a nonlinear quantile model
- Markov switching quantile regression models with time-varying transition probabilities
- Regime Variance Testing --- a Quantile Approach
- A note on testing for switching regressions
- Estimation in quantile regression models with jump discontinuities
- Testing for change points in censored quantile regression models
- Parameter instability in quantile regression
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