Testing for parameter stability in quantile regression models
AbstractWe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 78 (2008)
Issue (Month): 16 (November)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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Boston University - Department of Economics - Working Papers Series
WP2010-052, Boston University - Department of Economics.
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