STABTEST: RATS procedure to perform Hansen's stability test for OLS

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Computes Hansen's stability test statistics (for individual coefficients, variance and jointly). Hansen(1992), "Parameter Instability in Linear Models", Journal of Policy Modeling, vol. 14, 517-533.

Language: RATS
Requires: RATS 7.30
Keywords: Stability; tests (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/stabtest.src (text/plain)

Related works:
Journal Article: Testing for parameter instability in linear models (1992)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00199

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