Qu Test for Structural Breaks in Quantile Regressions

Marilena Furno, Domenico Vistocco
(2015) International Journal of Statistics and Probability, 2, 4, 42-55

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The Qu (2008) test for changing coefficients in quantile regression is analyzed in order to investigate its diagnostic propensities when appropriately decomposed. The goal is to reveal the diagnostic capabilities of this test: it can indeed be implemented to detect the location of a break and to pin point its impact on each regression coefficient. In addition it is possible to analyze the evolution of the impact of a break on a coefficient as the quantile changes. To implement the Qu test as a diagnostic tool, the original definition is modified. The behavior of the modified test is investigated using real data and through a Monte Carlo study.