Need help for Andrews and Ploberger test

[soju]

Hello, I have some questions about the @APBreakTest procedure in Rats program.
Forgive me if it's a stupid question:
Is this procedure only apply on linear models? Say if I want to test the parameters change in a model, it has to be tested on a linear model?
Can i use it to test GARCH model parameters changes?
What should put for independent variable and what for regressors?

Really appreciated if anyone could help.
Cheers

[TomDoan]

You can't apply @APBreakTest to anything other than a linear regression. However, there's a related (and actually simpler) calculation that can be applied to the derivatives of the log likelihood elements that are computed by GARCH (or by MAXIMIZE). See

http://www.estima.com/forum/viewtopic.php?f=7&t=893