EViews.com

Should it be expected in running a QA endogenous breakpoint test, assuming Newey-West Heterskedastic Consistent Covariance under the equations options regression, that only an LR F statistic is generated and not a Wald Statistic? I can see a button for the Wald Estimate but I cannot access it. Does imposing Newey-West foreclose estimation of a Wald Stat?

Yes, due to the way that the Quandt-Andrews is calculated internally, we do not report a Wald statistic for the Quandt-Andrews test when you have HAC standard errors.