RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap
AbstractReplication 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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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00089.
Programming language: RATS
Requires: RATS 7.30
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
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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.
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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