Bruce E. Hansen
"Testing for structural change in conditional models"
Journal of Econometrics (2000)
Program and Data Files
This program replicates the empirical work reported in the above paper.
It contains a set of procedures for testing for structural change in linear models. The procedures calculate the Andrews and Andrews-Ploberger tests for structural change, calculate the asymptotic p-values using the approximation of Hansen (JBES, 1997) and calculates p-values using the fixed-regressor bootstrap described in the above paper.
Gauss Programs and Data
Matlab Programs and Data
R 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.