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ANOTHER NUMERICAL METHOD OF FINDINGCRITICAL VALUES FOR THE ANDREWS STABILITYTEST

Published online by Cambridge University Press:  02 August 2011

Stanislav Anatolyev and
Grigory Kosenok
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Abstract

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We propose a method, alternative to that of Estrella(2003,Econometric Theory 19,1128–1143), of obtaining exact asymptoticp-values and critical values forthe popular Andrews (1993,Econometrica 61, 821–856) testfor structural stability. The method is based oninverting an integral equation that determines theintensity of crossing a boundary by the asymptoticprocess underlying the test statistic. Furtherintegration of the crossing intensity yields ap-value. The proposed method canpotentially be applied to other stability tests thatemploy the supremum functional.

Information

Type
Research Article
Information
Econometric Theory , Volume 28 , Issue 1 , February 2012, pp. 239 - 246
Copyright
Copyright © Cambridge University Press 2011

Footnotes

We are grateful to two anonymous referees forvery helpful comments and suggestions. We alsothank Paolo Paruolo and Geert Dhaene for usefulconversations.

References

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