RATS programs to replicate Hansen's examples of Andrews-Ploberger test
AbstractReplication file for the examples of Hansen, Bruce E.(1997), "Approximate Asymptotic P-Values for Structural Change Tests", Journal of Business and Economic Statistics, vol 15, no. 1, pp 60-67. Uses APBREAKTEST procedure.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00087.
Programming language: RATS
Requires: RATS 5.10
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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, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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