To date, the literature on quantile regression and least absolute deviation regression has assumed either explicitly or implicitly that the conditional quantile regression model is correctly specified. When the model is misspecified, confidence intervals and hypothesis tests based on the...

To date the literature on quantile regression and least absolute deviation regression has assumed either explicitly or implicitly that the conditional quantile regression model is correctly specified. When the model is misspecified, confidence intervals and hypothesis tests based on the...

We analyse the case where a unit-root test is based on a Dickey-Fuller regression the only deterministic term of which is a fixed intercept. Suppose, however, as could well be the case, that the actual data-generating process includes a broken linear trend. It is shown theoretically, and...