Motivated by the fact that a linear speci fication in a quantile regression setting is unable to describe the non-linear relations among economic variables, as documented in the empirical econometrics literature, we are the first to formulate and analyze a multiple threshold quantile regression...

It is well documented that the term structure of interest rates has predictive power for real economic growth. Although various models have been constructed to test the predictive power, there is no consensus on which model captures most information about future states of the economy....

This paper extends Kiefer, Vogelsang, and Bunzel - (2000, Econometrica) and Kiefer and Vogelsang - (2002b, Econometric Theory) to propose a class of over-identifying restrictions (OIR) tests that are robust to heteroskedasticity and serial correlations of unknown form. These OIR tests do not...