This paper presents estimation methods and asymptotic theory for the analysis of a nonparametrically specified conditional quantile process. Two estimators based on local linear regressions are proposed. The first estimator applies simple inequality constraints while the second uses...

Most studies in the structural change literature focus solely on the conditional mean, while under various circumstances, structural change in the conditional distribution or in conditional quantiles is of key importance. This paper proposes several tests for structural change in regression...

This 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...

We propose a modified local-Whittle estimator of the memory parameter of a long memory time series process which has good properties under an almost complete collection of contamination processes that have been discussed in the literature, mostly separately. These contaminations include...

We propose a test for the slope of a trend function when it is a priori unknown whether the series is trend-stationary or contains an autoregressive unit root. The procedure is based on a Feasible Quasi Generalized Least Squares method from an AR(1) specification with parameter [alpha], the sum...

Perron [Perron, P., 1989. The great crash, the oil price shock and the unit root hypothesis. Econometrica 57, 1361-1401] introduced a variety of unit root tests that are valid when a break in the trend function of a time series is present. The motivation was to devise testing procedures that...