Sequential change point detection in linear quantile regression models

We develop a method for sequential detection of structural changes in linear quantile regression models. We establish the asymptotic properties of the proposed test statistic, and demonstrate the advantages of the proposed method over existing tests through simulation.

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Year of publication:	2015
Authors:	Zhou, Mi ; Wang, Huixia Judy ; Tang, Yanlin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 100.2015, C, p. 98-103
Publisher:	Elsevier
Subject:	Change point detection \| Linear regression \| Quantile regression \| Sequential testing \| Structural change

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011263152