Testing for structural change in regression quantiles
From MaRDI portal
Recommendations
Cites work
- A Conditional Kolmogorov Test
- A weak convergence result useful in robust autoregression
- Asymptotic relations of M-estimates and R-estimates in linear regression model
- Autoregression quantiles and related rank-scores processes
- Convergence of weighted averages of random variables revisited
- Critical values for multiple structural change tests
- Distribution of quantiles in samples from a bivariate population
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimating and Testing Structural Changes in Multivariate Regressions
- ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
- Forecasting Time Series Subject to Multiple Structural Breaks
- Goodness of Fit and Related Inference Processes for Quantile Regression
- scientific article; zbMATH DE number 3945165 (Why is no real title available?)
- scientific article; zbMATH DE number 4104198 (Why is no real title available?)
- scientific article; zbMATH DE number 88840 (Why is no real title available?)
- scientific article; zbMATH DE number 3502628 (Why is no real title available?)
- scientific article; zbMATH DE number 1124615 (Why is no real title available?)
- scientific article; zbMATH DE number 5200024 (Why is no real title available?)
- Inference on the Quantile Regression Process
- Nonparametric change-point estimation
- Nonparametric tests for the changepoint problem
- Optimal changepoint tests for normal linear regression
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Quantile Autoregression
- Quantile regression.
- Regression Quantiles
- Regression rank scores and regression quantiles
- Robust Tests for Heteroscedasticity Based on Regression Quantiles
- Testing For and Dating Common Breaks in Multivariate Time Series
- Testing for distributional change in time series
- Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
- Testing for Structural Change in Dynamic Models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- The Cusum Test with Ols Residuals
- The generalized fluctuation test: A unifying view
- Uniform Convergence in Probability and Stochastic Equicontinuity
- Weak convergence of the sequential empirical processes of residuals in ARMA models
Cited in
(76)- Testing for structural change in conditional models
- Tests for structural break in quantile regressions
- Gradient-based structural change detection for nonstationary time series M-estimation
- A continuous threshold expectile model
- Testing for common breaks in a multiple equations system
- Nonparametric regression with multiple thresholds: estimation and inference
- Estimating multiple breaks in mean sequentially with fractionally integrated errors
- Markov switching quantile regression models with time-varying transition probabilities
- Test for conditional quantile change in GARCH models
- Estimating impulse-response functions for macroeconomic models using directional quantiles
- Generalized linear-quadratic model with a change point due to a covariate threshold
- Estimating restricted common structural changes for panel data
- Quantile-regression-based clustering for panel data
- Sequential change point detection in linear quantile regression models
- Composite change point estimation for bent line quantile regression
- Discriminant analysis by quantile regression with application on the climate change problem
- Unit root quantile autoregression testing using covariates
- A quasi-Bayesian change point detection with exchangeable weights
- The changing dynamics of US inflation persistence: a quantile regression approach
- Testing cointegration in quantile regressions with an application to the term structure of interest rates
- Markov-switching quantile autoregression: a Gibbs sampling approach
- Comparing time varying regression quantiles under shift invariance
- Asymptotic inferences for an AR(1) model with a change point and possibly infinite variance
- Adaptive LASSO model selection in a multiphase quantile regression
- Quantile regression on quantile ranges -- a threshold approach
- Real time change-point detection in a nonlinear quantile model
- Testing for change points due to a covariate threshold in quantile regression
- Structural change in nonstationary \(\mathrm{AR}(1)\) models
- Parameter instability in quantile regression
- Segmented model selection in quantile regression using the minimum description length principle
- Threshold quantile autoregressive models
- Dealing with Markov-switching parameters in quantile regression models
- Testing for change points in censored quantile regression models
- Limit theory for moderate deviations from a unit root with a break in variance
- Rank-based multiple change-point detection
- Estimation in quantile regression models with jump discontinuities
- Robust bent line regression
- Quantile regression estimates and the analysis of structural breaks
- Regime Variance Testing --- a Quantile Approach
- Saddlepoint tests for quantile regression
- Common threshold in quantile regressions with an application to pricing for reputation
- M tests with a new normalization matrix
- Monitoring parameter change for time series models with application to location-Scale heteroscedastic models
- Structural change tests under regression misspecifications.
- Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach
- A consistent nonparametric test for the structure change in quantile regression
- Maximum likelihood estimation for quantile autoregression models with Markovian switching
- Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
- Shrinkage quantile regression for panel data with multiple structural breaks
- Segmented Correspondence Curve Regression for Quantifying Covariate Effects on the Reproducibility of High-Throughput Experiments
- Sequential change point detection for high‐dimensional data using nonconvex penalized quantile regression
- Loss function-based change point detection in risk measures
- Long memory, spurious memory: persistence in range-based volatility of exchange rates
- ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
- Bent-cable quantile regression model
- Test for conditional quantile change in general conditional heteroscedastic time series models
- Multiscale jump testing and estimation under complex temporal dynamics
- Estimation and Inference for Multi-Kink Quantile Regression
- Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk
- Time series quantile regression kink with an unknown threshold
- Linear-quadratic quantile regression model with a change point due to a threshold covariate
- A score-based threshold effect test in time series models
- \texttt{QR.break}: an \texttt{R} package for structural breaks in quantile regression
- Broken-stick quantile regression model with multiple change points
- Quantile Granger causality in the presence of instability
- Efficient Multiple Change Point Detection and Localization For High-Dimensional Quantile Regression with Heteroscedasticity
- Testing for distributional structural change with unknown breaks: application to pricing crop insurance contracts
- Data-driven estimation for multithreshold accelerated failure time model
- Change point detection for high-dimensional linear models: a general tail-adaptive approach
- Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models
- QR.break
- Estimating structural changes in regression quantiles
- Testing linearity against threshold effects: uniform inference in quantile regression
- Empirical likelihood test in a posteriori change-point nonlinear model
- Threshold effect test in censored quantile regression
- Testing for parameter stability in quantile regression models
This page was built for publication: Testing for structural change in regression quantiles
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q295711)
