Title

Testing Structural Changes in Conditional Distributions Via Quantile Regressions

Publication Type

Working Paper

Publication Date

2009

Abstract

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

Keywords

Conditional distribution, Structural change, Local polynomial regression, Quantile regression, Block bootstrap

Discipline

Economics

Research Areas

Econometrics

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://www.econ.rochester.edu/Cals/metricspapers/metrics10-23-09.pdf

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