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...

This paper considers various asymptotic approximations to the finite sample distribution of the estimate of the break date in a simple one-break model for a linear trend function that exhibits a change in slope, with or without a concurrent change in intercept. The noise component is either...