QR.break (version 1.0.1)
- Initial CRAN release
- Implemented methods for structural break detection in linear
quantile regression based on:
- Qu, Z. (2008). Testing for structural Change in Regression
Quantiles. Journal of Econometrics, 146(1), 170-184.
- Oka, T., & Qu, Z. (2011). Estimating Structural Changes in
Regression Quantiles. Journal of Econometrics, 162(2), 248-267.
- Core functionality includes:
- Detection of structural breaks in quantile regression models
- Determination of optimal number of breaks
- Estimation of break point locations
- Support for both single and multiple quantile analysis
- Compatibility with time series and repeated cross-sectional
data