ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST

Stanislav Anatolyev and Grigory Kosenok

Econometric Theory, 2012, vol. 28, issue 1, 239-246

Abstract: We propose a method, alternative to that of Estrella (2003, Econometric Theory 19, 1128–1143), of obtaining exact asymptotic p-values and critical values for the popular Andrews (1993, Econometrica 61, 821–856) test for structural stability. The method is based on inverting an integral equation that determines the intensity of crossing a boundary by the asymptotic process underlying the test statistic. Further integration of the crossing intensity yields a p-value. The proposed method can potentially be applied to other stability tests that employ the supremum functional.

Date: 2012
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