APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Andrews-Ploberger, Andrews-Quandt tests for structural break in a general maximum likelihood. Andrews, Donald W. K. and Werner Ploberger, "Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative", Econometrica, 1994.

Language: RATS
Requires: RATS 7.30
Keywords: Stability tests; structural breaks; Andrews-Ploberger tests (search for similar items in EconPapers)
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https://www.estima.com/procs_perl/apgradienttest.src (text/plain)

Related works:
Journal Article: Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative (1994)
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