APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood
AbstractAndrews-Ploberger, Andrews-Quandt tests for structural break in a general maximum likelihood. Andrews, Donald W. K. and Werner Ploberger, "Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative", Econometrica, 1994.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00007.
Programming language: RATS
Requires: RATS 7.30
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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