QRBREAK: Stata module to test and estimate structural breaks in quantile regression

H. Ozan Eruygur

Statistical Software Components from Boston College Department of Economics

Abstract: qrbreak tests for structural breaks occurring at unknown dates in regression quantiles and estimates the break dates, their confidence intervals, and the regression coefficients in each regime. The analysis is carried out both quantile by quantile (the SQ test of Qu 2008) and jointly over a range of quantiles (the DQ test of Oka and Qu 2011). The number of breaks is determined by a sequential testing procedure, break dates are estimated by dynamic programming, and confidence intervals for the break dates are constructed under the shrinking-break asymptotic framework of Oka and Qu (2011).

Language: Stata
Requires: Stata version 16
Keywords: structural breaks; quantile regression (search for similar items in EconPapers)
Date: 2026-08-02
Note: This module should be installed from within Stata by typing "ssc install qrbreak". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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http://fmwww.bc.edu/repec/bocode/q/qrbreak.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qrbreak.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qrbreak_core_macosx_arm64.plugin
http://fmwww.bc.edu/repec/bocode/q/qrbreak_core_macosx_x86_64.plugin
http://fmwww.bc.edu/repec/bocode/q/qrbreak_core_unix.plugin
http://fmwww.bc.edu/repec/bocode/q/qrbreak_core_windows.plugin

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