QR.break: Structural Breaks in Quantile Regression
In QR.break: Structural Breaks in Quantile Regression

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

QR.break documentation built on June 8, 2025, 1:53 p.m.