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REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values

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  • Tom Doan

    () (Estima)

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Abstract

RegHBreak 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 Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00176.

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Programming language: RATS
Requires: RATS 7.30
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Handle: RePEc:boc:bocode:rts00176

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Related research

Keywords: Stability tests; bootstrapping;

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