Testing Structural Changes in Conditional Distributions Via Quantile Regressions
We propose tests for structural change in conditional distributions via quantile regressions. To avoid misspecification on the conditioning relationship, we construct the tests based on the residuals from local polynomial quantile regressions. In particular, the tests are based upon the cumulative sums of generalized residuals from quantile regressions and have power against local alternatives at rate
Conditional distribution, Structural change, Local polynomial regression, Quantile regression, Block bootstrap
SU, Liangjun and XIAO, Z..
Testing Structural Changes in Conditional Distributions Via Quantile Regressions. (2009). Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/1170
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