Efficient Semiparametric Detection of Changes in Trend
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References listed on IDEAS
- Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, November.
- Donald W. K. Andrews & Marcia M. A. Schafgans, 1998. "Semiparametric Estimation of the Intercept of a Sample Selection Model," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 497-517.
- Koenker, Roger & Park, Beum J., 1996. "An interior point algorithm for nonlinear quantile regression," Journal of Econometrics, Elsevier, pages 265-283.
More about this item
KeywordsStructural change; trend-stationary processes; nonparametric regression; efficient influence function;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-10 (All new papers)
- NEP-ECM-2009-10-10 (Econometrics)
- NEP-ETS-2009-10-10 (Econometric Time Series)
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