Publication Type

Journal Article

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

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

https://doi.org/10.1016/j.spl.2008.03.018

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Econometrics Commons

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