Hansen JBES 1997

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TomDoan: Posts: 7814; Joined: Wed Nov 01, 2006 4:36 pm

Hansen JBES 1997

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Unread post by TomDoan » Wed Jun 29, 2011 1:47 pm

This replicates the examples from 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. The calculations of the p-values are included in the procedure APBREAKTEST (http://www.estima.com/forum/viewtopic.php?f=7&t=1109).

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