Hansen JBES 1997
Posted: 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).