The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
Abstract Details
|
Activity Number:
|
545
|
|
Type:
|
Invited
|
|
Date/Time:
|
Wednesday, August 3, 2011 : 2:00 PM to 3:50 PM
|
|
Sponsor:
|
Business and Economic Statistics Section
|
| Abstract - #300013 |
|
Title:
|
Estimating Structural Changes in Regression Quantiles
|
|
Author(s):
|
Zhongjun Qu*+ and Tatsushi Oka
|
|
Companies:
|
Boston University and National University of Singapore
|
|
Address:
|
, , ,
|
|
Keywords:
|
Structural change ;
quantile regression ;
conditional distribution ;
Policy evaluation
|
|
Abstract:
|
This paper considers the estimation of multiple structural changes occurring at unknown dates in one or multiple conditional quantile functions. The analysis covers time series models as well as models with repeated cross sections. We estimate the break dates and other parameters jointly by minimizing the check function over all permissible break dates. The limiting distribution of the estimator is derived and the coverage property of the resulting confidence interval is assessed via simulations. A procedure to determine the number of breaks is also discussed. Empirical applications to the quarterly US real GDP growth rate and the underage drunk driving data suggest that the method can deliver more informative results than the analysis of the conditional mean function alone.
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2011 program
|
2011 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.