arXiv 10 Feb 2023 · Econometrics
arXiv:2302.05193 · PDF · DOI · OpenAlex · Extracted main text
We propose an econometric environment for structural break detection in nonstationary quantile predictive regressions. We establish the limit distributions for a class of Wald and fluctuation type statistics based on both the ordinary least squares estimator and the endogenous instrumental regression estimator proposed by Phillips and Magdalinos (2009a, Econometric Inference in the Vicinity of Unity. Working paper, Singapore Management University). Although the asymptotic distribution of these test statistics appears to depend on the chosen estimator, the IVX based tests are shown to be asymptotically nuisance parameter-free regardless of the degree of persistence and consistent under local alternatives. The finite-sample performance of both tests is evaluated via simulation experiments. An empirical application to house pricing index returns demonstrates the practicality of the proposed break tests for regression quantiles of nonstationary time series data.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Andrews, D. W (1993) Tests for parameter instability and structural change with unknown change point | 1.000 | 6 | 3 | 100% |
| 2 | Katsouris, C. G (2021) Robust structural break tests in predictive regressions with persistent predictors self | 1.000 | 5 | 3 | 100% |
| 3 | Qu, Z (2008) Testing for structural change in regression quantiles | 0.982 | 19 | 7 | 95% |
| 4 | Lee, J. H (2016) Predictive quantile regression with persistent covariates: Ivx-qr approach | 0.939 | 29 | 7 | 83% |
| 5 | Kostakis, A., Magdalinos, T., and Stamatogiannis, M. P (2015) Robust econometric inference for stock return predictability | 0.928 | 10 | 5 | 80% |
| 6 | Gonzalo, J. and Pitarakis, J.-Y (2012) Regime-specific predictability in predictive regressions | 0.928 | 4 | 3 | 100% |
| 7 | Gonzalo, J. and Pitarakis, J.-Y (2017) Inferring the predictability induced by a persistent regressor in a predictive threshold model | 0.928 | 4 | 3 | 100% |
| 8 | Phillips, P. C. B. and Magdalinos, T (2009) Econometric inference in the vicinity of unity | 0.924 | 19 | 5 | 79% |
| 9 | Galvao, A. F., Kato, K., Montes-Rojas, G., and Olmo, J (2014) Testing linearity against threshold effects: uniform inference in quantile regression | 0.843 | 4 | 4 | 75% |
| 10 | Goh, S. C. and Knight, K (2009) Nonstandard quantile-regression inference | 0.843 | 4 | 3 | 75% |
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