A consistent nonparametric test for the structure change in quantile regression

DOI10.1016/j.econlet.2023.111161OpenAlexW4376879232MaRDI QIDQ6047353

Weiqiang Liu

Publication date: 12 September 2023

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2023.111161

zbMATH Keywords

bootstrapMonte Carlo simulationsquantile regressionstructural changenonparametric test

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Testing for structural change in regression quantiles
• Testing structural change in time-series nonparametric regression models
• Estimating structural changes in regression quantiles
• Nonparametric regression for locally stationary time series
• Testing for parameter stability in quantile regression models
• Nonparametric estimates for conditional quantiles of time series
• Tests for structural break in quantile regressions
• Consistent nonparametric change point detection combining CUSUM and marked empirical processes
• Sequential change point detection in linear quantile regression models
• A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE
• NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY
• Parameter instability in quantile regression

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