Testing for parameter stability in quantile regression models
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.
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Volume (Year): 78 (2008)
Issue (Month): 16 (November)
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- Inoue, Atsushi, 2001. "Testing For Distributional Change In Time Series," Econometric Theory, Cambridge University Press, vol. 17(01), pages 156-187, February.
- Lee, Sangyeol & Na, Seongryong, 2004. "A nonparametric test for the change of the density function in strong mixing processes," Statistics & Probability Letters, Elsevier, vol. 66(1), pages 25-34, January.
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- Bai, Jushan, 1996. "Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach," Econometrica, Econometric Society, vol. 64(3), pages 597-622, May.
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- Koenker, Roger & Xiao, Zhijie, 2006. "Quantile Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 980-990, September.
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