QR.break {QR.break} | R Documentation |
Structural Breaks in Quantile Regression
Description
Methods for detecting structural breaks, determining the number of breaks, and estimating break locations in linear quantile regression, using a single or multiple quantiles, based on Qu (2008) and Oka and Qu (2011). Applicable to both time series and repeated cross-sectional data.
Main Functions
-
rq.break
: Main function for detecting structural breaks in quantile regression -
sq
: Performs structural break testing using single quantile approach -
dq
: Tests for breaks using multiple quantiles -
brdate
: Estimates potential break dates
Author(s)
Maintainer: Zhongjun Qu qu@bu.edu
Authors:
Tatsushi Oka oka.econ@gmail.com
Other contributors:
Samuel Messer snmesser@bu.edu [contributor]
References
Qu, Z. (2008). Testing for Structural Change in Regression Quantiles. Journal of Econometrics, 146(1), 170-184 doi:10.1016/j.jeconom.2008.08.006
Oka, T., and Qu, Z. (2011). Estimating Structural Changes in Regression Quantiles. Journal of Econometrics, 162(2), 248-267 doi:10.1016/j.jeconom.2011.01.005