REGHBREAK Procedure

@REGHBREAK is a regression post-processor which tests the regression just run for a full structural break with fixed regressor bootstrapping of the significance level. The test statistics are the Andrews-Quandt (maximum) and Andrews-Ploberger (geometric mean) of the F-statistics for the break. From Hansen(2000).

@RegHBreak( options ) (no parameters)

Options

REPS=# of residual bootstrap replications [100]

PI1=fraction of early entries not examined as break points [.15]

PI2=fraction of late entries not examined as break points [PI1]

[PRINT]/NOPRINT

Variables Defined

All are for the test on the full coefficient vector

%%BREAKPOINT	Entry with largest break test (INTEGER)
%%AQTEST	Andrews-Quandt test statistic (REAL)
%%APTEST	Andrews-Ploberger test statistic (REAL)
%%AQSIGNIF	Approximate significance value for AQ test (REAL)
%%APSIGNIF	Approximate significance value for AP test (INTEGER)

Example

* Replication for Hansen(2000), "Testing for Structural Change in

* Conditional Models", Journal of Econometrics, vol. 97, no. 1, pages

* 93-115, July.

* The example is one equation from a bivariate VAR with the first

* difference of log(M2) as the dependent variable, and the first

* difference of the 3-month T-bill rate as the other endogenous

* variable. The RegHBreak procedure does Andrews-Ploberger and

* Andrews-Quandt tests, using the Hansen's fixed regressor bootstrap to

* estimate p-values.

cal(m) 1959:1

open data hansenjoe2000.xls

data(format=xls,org=columns) 1959:1 1995:1 fygm3 fm2

set y = log(fm2/fm2{1})

set x = fygm3-fygm3{1}

linreg y

# constant y{1 to 6} x{1 to 6}

* @RegHBreak does break tests applied to the most recent linear

* regression.

@RegHBreak

Sample Output

AQ-AP Break Tests/Bootstrapped P-Values

Estimated Break 1982:08

Statistic Signif

Andrews-Quandt Test 61.145 0.00000

Andrews-Ploberger Test 25.265 0.00000