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.
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