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

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

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.

Suggested Citation

  • Tom Doan, "undated". "REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values," Statistical Software Components RTS00176, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rts00176
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/reghbreak.src
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    More about this item

    Keywords

    Stability tests; bootstrapping; RATS;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

    Statistics

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