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A consistent nonparametric test for the structure change in quantile regression

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  • Liu, Weiqiang

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.

Suggested Citation

  • Liu, Weiqiang, 2023. "A consistent nonparametric test for the structure change in quantile regression," Economics Letters, Elsevier, vol. 228(C).
    • Handle: RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001866
    DOI: 10.1016/j.econlet.2023.111161
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    References listed on IDEAS

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    1. Juhl, Ted & Xiao, Zhijie, 2013. "Nonparametric Tests Of Moment Condition Stability," Econometric Theory, Cambridge University Press, vol. 29(1), pages 90-114, February.
    2. Zhou, Mi & Wang, Huixia Judy & Tang, Yanlin, 2015. "Sequential change point detection in linear quantile regression models," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 98-103.
    3. Weichi Wu & Zhou Zhou, 2017. "Nonparametric Inference for Time-Varying Coefficient Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 98-109, January.
    4. Su, Liangjun & Xiao, Zhijie, 2008. "Testing for parameter stability in quantile regression models," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2768-2775, November.
    5. Jürgen Franke & Peter Mwita & Weining Wang, 2015. "Nonparametric estimates for conditional quantiles of time series," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(1), pages 107-130, January.
    6. Zheng, John Xu, 1998. "A Consistent Nonparametric Test Of Parametric Regression Models Under Conditional Quantile Restrictions," Econometric Theory, Cambridge University Press, vol. 14(1), pages 123-138, February.
    7. Jeong, Kiho & Härdle, Wolfgang K. & Song, Song, 2012. "A Consistent Nonparametric Test For Causality In Quantile," Econometric Theory, Cambridge University Press, vol. 28(4), pages 861-887, August.
    8. Marilena Furno, 2012. "Tests for structural break in quantile regressions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(4), pages 493-515, October.
    9. Michael Vogt, 2012. "Nonparametric regression for locally stationary time series," CeMMAP working papers CWP22/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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    More about this item

    Keywords

    Quantile regression; Structural change; Nonparametric test; Bootstrap; Monte Carlo simulations;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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