REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: RegHBreak is a regression post-processor which performs Andrews-Quandt and Andrews-Ploberger tests, estimating the p-value using fixed regressor bootstrapping. Use this after running a linear regression. Bruce Hansen(2000), "Testing for Structural Change in Conditional Models", Journal of Econometrics, vol. 97, no. 1, 93-115. Andrews and Ploberger(1994), "Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative", Econometrica, vol 62, no 6, 1383-1414.

Language: RATS
Requires: RATS 7.30
Keywords: Stability tests; bootstrapping (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://www.estima.com/procs_perl/reghbreak.src (text/plain)

Related works:
Journal Article: Testing for structural change in conditional models (2000)
Journal Article: Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00176

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