Hi all,
I'm using the Quandt-Andrews test in Eviews 7 (last version). As you all know it's a test for structural changes. EViews prints out the statistic (value and probability, i.e. the p-value), but unfortunately not the critical value given selected trimming percent and number of restrictions. Question: Where (for example internet site, econometric book etc.) can I find the critical values given the selected trimming percent and number of restrictions?
Thank in advance,
P
Quandt-Andr. test and critical values
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Re: Quandt-Andr. test and critical values
Andrews, Donald W. K. (1993). “Tests for Parameter Instability and Structural Change With Unknown
Change Point,” Econometrica, 61(4), 821–856.
Andrews, Donald W. K. and W. Ploberger (1994). “Optimal Tests When a Nuisance Parameter is Present
Only Under the Alternative,” Econometrica, 62(6), 1383–1414.
Change Point,” Econometrica, 61(4), 821–856.
Andrews, Donald W. K. and W. Ploberger (1994). “Optimal Tests When a Nuisance Parameter is Present
Only Under the Alternative,” Econometrica, 62(6), 1383–1414.
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Re: Quandt-Andr. test and critical values
Thank Gareth,
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