ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST

We propose a method, alternative to that of Estrella (2003, <italic>Econometric Theory</italic> 19, 1128–1143), of obtaining exact asymptotic <italic>p</italic>-values and critical values for the popular Andrews (1993, <italic>Econometrica</italic> 61, 821–856) test for structural stability. The method is based on inverting an integral equation that determines the intensity of crossing a boundary by the asymptotic process underlying the test statistic. Further integration of the crossing intensity yields a <italic>p</italic>-value. The proposed method can potentially be applied to other stability tests that employ the supremum functional.