RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Replication for Hansen(2000), "Testing for Structural Change in Conditional Models", Journal of Econometrics, vol. 97, no. 1, pages 93-115. Demonstrates test for a structural break in a linear regression model with fixed regressor bootstrap.

Language: RATS
Requires: RATS 7.30
Keywords: Fixed; regressor; bootstrap (search for similar items in EconPapers)
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Downloads: (external link)
https://www.estima.com/procs_perl/hansen_joe2000.zip (application/zip)

Related works:
Journal Article: Testing for structural change in conditional models (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00089

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