APBREAKTEST - General test for breaks in linear regression
Posted: Wed Jun 29, 2011 10:38 amAPBreakTest performs Andrews-Ploberger and Andrews-Quandt structural break tests for a linear regression, with p-values using Hansen's approximations. These are used to test for a single structural break at an unknown point within the sample. A series of LM statistics are generated for breaks at each of the points in the middle range of the data set. The Andrews-Quandt test uses as the test statistic the maximum of the LM statistics, while Andrews-Ploberger uses the geometric mean. These both have highly non-standard distributions. Asymptotic p-values are computed.
References:
Andrews, Donald W. K. and Werner Ploberger, "Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative", Econometrica, 1994, pp 1383-1414
Hansen, Bruce E., "Approximate Asymptotic P-Values for Structural Change Tests", Journal of Business and Economic Statistics, 1997, pp 60-67.
Fix on 29 June 2011 to fix (clearly) wrong p-values on the Andrews-Ploberger form for k=2 and k=3 for values well in the tail.
APBREAKTEST is used in the ONEBREAK.RPF example file distributed with RATS.
The related procedure APGradientTest (http://www.estima.com/forum/viewtopic.php?f=7&t=893) can be applied to the series of gradients from a non-linear estimation such as one done with GARCH or MAXIMIZE.
References:
Andrews, Donald W. K. and Werner Ploberger, "Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative", Econometrica, 1994, pp 1383-1414
Hansen, Bruce E., "Approximate Asymptotic P-Values for Structural Change Tests", Journal of Business and Economic Statistics, 1997, pp 60-67.
Fix on 29 June 2011 to fix (clearly) wrong p-values on the Andrews-Ploberger form for k=2 and k=3 for values well in the tail.
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APBREAKTEST is used in the ONEBREAK.RPF example file distributed with RATS.
The related procedure APGradientTest (http://www.estima.com/forum/viewtopic.php?f=7&t=893) can be applied to the series of gradients from a non-linear estimation such as one done with GARCH or MAXIMIZE.