EViews.com

I am running Eviews Quandt-Andrews test (not using Newey-West standard errors) and get usual output on Lr F and Wald F. However, each statistic points to a different breakpoint as far apart as 60 quarters apart. I would like to know when it is appropriate to use the LR F or Wald F , ie., are there any rules of thumb to use?

Probably means that it is a close call between those two possible break points. If you save the LR and Wald statistics into your workfile and take a look at them, you'll probably see that they are quite flat, or at the very least, quite similar at those two points.

Of course I should add that if you're doing White standard errors, it is very possible that the two statistics will give different breaks, since the Wald takes the standard errors into account.

If I am indeed using White standard errors and getting disparate breakpoints far apart in time, is there any rule of thumb in econometricians use in determining whether to go by LR F or Wald F? Some of my results have the LR pointing to an intuitively appealing breakpoint while other QA tests have the Wald signalling a correct date. I am tempted to use LR in certain cases and Wald in other..but this seems inconsistent. Must one stick to LR or to Wald throughout a research project?

Hi,
I'm facing a similar issue where the LR and Wald test statistics give different breakpoints with different p-values - very significant in the Wald case, when I use the White standard errors (there is mild heteroskedasticity in my equation).
I'm wondering though, if I use the White SEs, do the non-standard critical values in Eviews still apply? Or is there a tendency for over-rejection of the null.
My understanding is that the non-standard distributions derived by Andrews assumes fixed regressors and i.i.d. errors. And bootstrap values would need to be calculated otherwise.
I would really appreciate some clarification, at least as to the distributions in Eviews.
Many thanks!