Approximate Asymptotic P-Values for Structural Change Tests

Numerical approximations to the asymptotic distributions of recently proposed tests for structural change are presented. This enables easy yet accurate calculation of asymptotic p-values. Keywords: parameter stability, changepoint models

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Year of publication:	1995-04
Authors:	Hansen, Bruce E.
Institutions:	Department of Economics, Boston College

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Extent:	application/pdf
Series:	Boston College Working Papers in Economics.
Type of publication:	Book / Working Paper
Notes:	published, Journal of Business and Economic Statistics, 1997, 15:60-67. The text is part of a series Boston College Working Papers in Economics Number 297. 24 pages
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005074199