Lee, Dong Jin - Department of Economics, University of Connecticut - 2009
This paper considers parameter instability tests in conditional quantile models. I suggest tests for quantile parameter … shows an evidence of parameter instability in most quantile levels of all models. The semiparametric test rejects the … instability based on the asymptotically optimal tests of Lee (2008) both in parametric and semiparametric set-up. In parametric …