## Bruce E. Hansen

"Testing for structural change in conditional models"

Journal of Econometrics (2000)

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Program and Data Files

This program replicates the empirical work reported in the above paper.

It contains a set of procedures for testing for structural change in linear models. The procedures calculate the Andrews and Andrews-Ploberger tests for structural change, calculate the asymptotic p-values using the approximation of Hansen (JBES, 1997) and calculates p-values using the fixed-regressor bootstrap described in the above paper.

Gauss Programs and Data

Matlab Programs and Data

R Programs and Data

Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.