sq.test.0vs1 {QR.break} | R Documentation |
Test for a Structural Break in a Conditional Quantile
Description
The function implements a break test to evaluate whether a single structural break exists at a given quantile.
Usage
sq.test.0vs1(y, x, v.tau, n.size = 1)
Arguments
y |
A numeric vector of dependent variables ( |
x |
A numeric matrix of regressors ( |
v.tau |
A numeric value representing the quantile level. |
n.size |
An integer specifying the size of the cross-section ( |
Value
A numeric value representing the test statistic for the presence of a structural break.
References
Koenker, R. and G. Bassett Jr, (1978). Regression Quantiles. Econometrica, 46(1), 33–50.
Qu, Z. (2008). Testing for Structural Change in Regression Quantiles. Journal of Econometrics, 146(1), 170–184.
Examples
## data
data(gdp)
y = gdp$gdp
x = gdp[,c("lag1", "lag2")]
## quantile
v.tau = 0.8
# cross-sectional size
n.size = 1
# sq test: 0 vs 1
result = sq.test.0vs1(y, x, v.tau, n.size)
print(result)
[Package QR.break version 1.0.2 Index]