A consistent nonparametric test for the structure change in quantile regression

Weiqiang Liu

Economics Letters, 2023, vol. 228, issue C

Abstract: Using conditional moment and kernel method, we provide a consistent nonparametric test for the structural change in quantile regression. The proposed test does not impose any parametric functional form on the quantile regression and has an asymptotically standard normal distribution under the null hypothesis. And it is consistent against any fixed alternatives and has non-trivial asymptotic power against a class of local alternatives with proper rates. Considering the convergence of nonparametric statistics under finite samples, we use a bootstrap procedure to obtain the critical value and employ the performance of the proposed test by a simulation study.

Keywords: Quantile regression; Structural change; Nonparametric test; Bootstrap; Monte Carlo simulations (search for similar items in EconPapers)
JEL-codes: C01 C14 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001866

DOI: 10.1016/j.econlet.2023.111161

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