sq.test.0vs1: Test for a Structural Break in a Conditional Quantile

In QR.break: Structural Breaks in Quantile Regression

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 (NT \times 1).
x	A numeric matrix of regressors (NT \times p).
v.tau	A numeric value representing the quantile level.
n.size	An integer specifying the size of the cross-section (N).

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)

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