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

B-Tier
Journal: Econometric Theory
Year: 2012
Volume: 28
Issue: 1
Pages: 239-246

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose a method, alternative to that of Estrella (2003, Econometric Theory 19, 1128–1143), of obtaining exact asymptotic p-values and critical values for the popular Andrews (1993, Econometrica 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 p-value. The proposed method can potentially be applied to other stability tests that employ the supremum functional.

Technical Details

RePEc Handle
repec:cup:etheor:v:28:y:2012:i:01:p:239-246_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-24