NOTES AND PROBLEMSANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST

摘要

We propose a method, alternative to that of 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.