Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.jeconom.2011.01.005
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dc.titleEstimating structural changes in regression quantiles
dc.contributor.authorOka, T.
dc.contributor.authorQu, Z.
dc.date.accessioned2014-05-05T10:25:45Z
dc.date.available2014-05-05T10:25:45Z
dc.date.issued2011-06
dc.identifier.citationOka, T., Qu, Z. (2011-06). Estimating structural changes in regression quantiles. Journal of Econometrics 162 (2) : 248-267. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jeconom.2011.01.005
dc.identifier.issn03044076
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/52131
dc.description.abstractThis paper considers the estimation of multiple structural changes occurring at unknown dates in one or multiple conditional quantile functions. The analysis covers time series models as well as models with repeated cross-sections. We estimate the break dates and other parameters jointly by minimizing the check function over all permissible break dates. The limiting distribution of the estimator is derived and the coverage property of the resulting confidence interval is assessed via simulations. A procedure to determine the number of breaks is also discussed. Empirical applications to the quarterly US real GDP growth rate and the underage drunk driving data suggest that the method can deliver more informative results than the analysis of the conditional mean function alone. © 2011 Elsevier B.V. All rights reserved.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.jeconom.2011.01.005
dc.sourceScopus
dc.subjectChange-point
dc.subjectConditional distribution
dc.subjectPolicy evaluation
dc.subjectQuantile regression
dc.subjectStructural breaks
dc.typeArticle
dc.contributor.departmentECONOMICS
dc.description.doi10.1016/j.jeconom.2011.01.005
dc.description.sourcetitleJournal of Econometrics
dc.description.volume162
dc.description.issue2
dc.description.page248-267
dc.description.codenJECMB
dc.identifier.isiut000291065300007
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