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Approximate Asymptotic P Values for Structural-Change Tests

Bruce E. Hansen
Journal of Business & Economic Statistics
Vol. 15, No. 1 (Jan., 1997), pp. 60-67
DOI: 10.2307/1392074
Stable URL: http://www.jstor.org/stable/1392074
Page Count: 8
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Approximate Asymptotic P Values for Structural-Change Tests
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Abstract

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. A GAUSS program is available to perform the computations.

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