Bruce E. Hansen
"Approximate asymptotic p-values for structural change tests"
Journal of Business and Economic Statistics (1997)
Program and Data Files
The following procedures are contained in this file.
ST_CH.PRC - Produces test statistics for structural change in a linear regression and calculates p-values
PV_SUP.PRC - Calculates asymptotic p-value for Sup statistic
PV_EXP.PRC - Calculates asymptotic p-value for Exp statistic
PV_AVE.PRC - Calculates asymptotic p-value for Ave statistic
EXAMPLE.PRG - Replicates empirical examples in the above paper
Gauss Programs and Data
Matlab Programs and Data
Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.
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