Publication Type
Journal Article
Version
submittedVersion
Publication Date
11-2008
Abstract
We propose a test for structural change of conditional distribution in dynamic regression models. The test is constructed based on time series regression quantile estimates and complements conventional parameter instability tests in least-square type regression models. Asymptotic distribution for our test under the null hypothesis is derived.
Discipline
Econometrics | Economics
Research Areas
Econometrics
Publication
Statistics and Probability Letters
Volume
78
Issue
16
First Page
2768
Last Page
2275
ISSN
0167-7152
Identifier
10.1016/j.spl.2008.03.018
Publisher
Elsevier
Citation
SU, Liangjun and XIAO, Zhijie.
Testing for Parameter Stability in Quantile Regression Models. (2008). Statistics and Probability Letters. 78, (16), 2768-2275.
Available at: https://ink.library.smu.edu.sg/soe_research/195
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.spl.2008.03.018
