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

Author(s)

Maintainer: Zhongjun Qu qu@bu.edu

Authors:

Other contributors:

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


[Package QR.break version 1.0.2 Index]