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

Matlab Programs

R Programs

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.