hansen 1992
Posted: Sun Jan 08, 2017 10:17 am
Hi,
Does anyone know how to calculate the critical value for the known break point in Hansen stability test? I want to create a chart similar to those in "Tests for parameter instability in regressions with I(1) processes, Hansen (1992)?Thanks
Does anyone know how to calculate the critical value for the known break point in Hansen stability test? I want to create a chart similar to those in "Tests for parameter instability in regressions with I(1) processes, Hansen (1992)?Thanks