Citation:
Anatolyev, Stanislav and Grigory Kosenok (2011) "Another numerical method of finding critical values for the Andrews stability test", Econometric Theory, vol. 28, no. 1, pp. 239-246
Abstract:
We propose a method, alternative to that by Estrella (2003, Econometric Theory, 19, 1128-1143), of obtaining exact asymptotic p-values and critical values for the popular Andrews (1993, Econometrica, 61, 821-856) test for structural stability. The method is based on inverting an integral equation that determines the intensity of crossing a boundary by the asymptotic process underlying the test statistic. Further integration of the crossing intensity yields a p-value. The proposed method can potentially be applied to other stability tests that employ the supremum functional.
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GAUSS code: