APPROXIMATE ASYMPTOTIC-P VALUES FOR STRUCTURAL-CHANGE TESTS

Authors
HANSEN BE
Citation
Be. Hansen, APPROXIMATE ASYMPTOTIC-P VALUES FOR STRUCTURAL-CHANGE TESTS, Journal of business & economic statistics, 15(1), 1997, pp. 60-67
Citations number
9
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics
Journal title
Journal of business & economic statistics → ACNP
ISSN journal
07350015
Volume
15
Issue
1
Year of publication
1997
Pages
60 - 67
Database
ISI
SICI code
0735-0015(1997)15:1<60:AAVFST>2.0.ZU;2-8
Abstract
Numerical approximations to the asymptotic: distributions of recently proposed tests for structural change are presented. This enables easy yet accurate calculation uf asymptotic p values. A GAUSS program is av ailable to perform the computations.