Access to test statistics from approximation studies, eg Hansen (1997)
Posted: Tue May 28, 2024 2:12 am
Hi,
I am coding some manual structural break tests since the inbuilt tools do not appear to work for state space models.
Is there any way to access the look up tables for the Hansen (1997) p-values that are reported in the Quandt-Andrews break test?
More generally is this also the case for other simulation/approximation statistics (eg MacKinnon (1996) p-values for cointegration)?
Thanks,
-Alex
I am coding some manual structural break tests since the inbuilt tools do not appear to work for state space models.
Is there any way to access the look up tables for the Hansen (1997) p-values that are reported in the Quandt-Andrews break test?
More generally is this also the case for other simulation/approximation statistics (eg MacKinnon (1996) p-values for cointegration)?
Thanks,
-Alex