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QRBREAK: Stata module to test and estimate structural breaks in quantile regression

Author

Listed:
  • Ozan Eruygur

    (Ankara Haci Bayram Veli University)

Programming Language

Abstract

qrbreak tests for structural breaks occurring at unknown dates in regression quantiles and estimates the break dates, their confidence intervals, and the regression coefficients in each regime. The analysis is carried out both quantile by quantile (the SQ test of Qu 2008) and jointly over a range of quantiles (the DQ test of Oka and Qu 2011). The number of breaks is determined by a sequential testing procedure, break dates are estimated by dynamic programming, and confidence intervals for the break dates are constructed under the shrinking-break asymptotic framework of Oka and Qu (2011).

Suggested Citation

  • Ozan Eruygur, 2026. "QRBREAK: Stata module to test and estimate structural breaks in quantile regression," Statistical Software Components S459852, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459852
    Note: This module should be installed from within Stata by typing "ssc install qrbreak". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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    File URL: http://fmwww.bc.edu/repec/bocode/q/qrbreak.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/q/qrbreak.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/q/qrbreak_core_macosx_arm64.plugin
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    File URL: http://fmwww.bc.edu/repec/bocode/q/qrbreak_core_macosx_x86_64.plugin
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    File URL: http://fmwww.bc.edu/repec/bocode/q/qrbreak_core_unix.plugin
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    File URL: http://fmwww.bc.edu/repec/bocode/q/qrbreak_core_windows.plugin
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