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| Kvantil-på-kvantil-regression med strukturelt brud× | Zivot-Andrews Strukturel Brud Test× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 2015-2020s | 1992 |
| Ophavsperson≠ | Extension combining Sim & Zhou (2015) QQR framework with Bai-Perron structural break methodology | Eric Zivot and Donald W. K. Andrews |
| Type≠ | Nonparametric quantile regression with structural breaks | Unit root test with endogenous structural break |
| Oprindelig kilde≠ | Sim, N., and Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking and Finance, 55, 1-8. DOI ↗ | Zivot, E., & Andrews, D. W. K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10(3), 251–270. DOI ↗ |
| Aliasser | SB-QQR, structural-break QQ regression, quantile-on-quantile with structural breaks, QQR with regime shifts | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Relaterede | 6 | 6 |
| Resumé≠ | Structural Break Quantile-on-Quantile Regression (SB-QQR) extends the quantile-on-quantile framework of Sim and Zhou (2015) by allowing regression slopes to differ across regimes separated by structural breaks. It maps how the effect of a predictor's quantile on an outcome's quantile changes not only across the full distributional space but also across distinct historical periods or policy regimes. | The Zivot-Andrews (ZA) test is a unit root test that endogenously identifies the most likely location of a single structural break in a time series. Unlike the standard ADF test, it does not require the researcher to pre-specify when the break occurred, making it robust to data-driven regime shifts such as policy changes, financial crises, or major economic events. |
| ScholarGateDatasæt ↗ |
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