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