| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153955 | Statistics & Probability Letters | 2008 | 8 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Liangjun Su, Zhijie Xiao,