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RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap

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  • Tom Doan

    ()
    (Estima)

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Abstract

Replication for Hansen(2000), "Testing for Structural Change in Conditional Models", Journal of Econometrics, vol. 97, no. 1, pages 93-115. Demonstrates test for a structural break in a linear regression model with fixed regressor bootstrap.

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File URL: http://www.estima.com/procs_perl/hansen_joe2000.zip
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00089.

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Programming language: RATS
Requires: RATS 7.30
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Handle: RePEc:boc:bocode:rtz00089

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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
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Web page: http://fmwww.bc.edu/EC/
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Keywords: Fixed regressor bootstrap;

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