REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values
AbstractRegHBreak is a regression post-processor which performs Andrews-Quandt and Andrews-Ploberger tests, estimating the p-value using fixed regressor bootstrapping. Use this after running a linear regression. Bruce Hansen(2000), "Testing for Structural Change in Conditional Models", Journal of Econometrics, vol. 97, no. 1, 93-115. Andrews and Ploberger(1994), "Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative", Econometrica, vol 62, no 6, 1383-1414.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00176.
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:
- Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
- 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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