Approximate Asymptotic P-Values for Structural Change Tests

Hansen, Bruce. “Approximate Asymptotic P-Values for Structural Change Tests”. Boston College Working Papers in Economics 297, 1995.
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Abstract

Numerical approximations to the asymptotic distributions of recently proposed tests for structural change are presented. This enables easy yet accurate calculation of asymptotic p-values. Keywords: parameter stability, changepoint models

Title
Approximate Asymptotic P-Values for Structural Change Tests
Author
Hansen, Bruce
School
Arts and Sciences
Discipline
Economics
Genre
working paper
Date Issued
1995
Series Title
Boston College Working Papers in Economics
Series Number
297
General Note
Originally posted on: http://ideas.repec.org/p/boc/bocoec/297.html
Subject
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Models

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