Numerical approximations to the asymptotic distributions of recently proposed tests for structural change are presented. This enables easy yet accurate calculation of asymptotic p-values. Keywords: parameter stability, changepoint models

This paper develops an asymptotic theory of inference for a two-regime threshold autoregressive (TAR) model with an autoregressive root which is local-to-unity. We find that the asymptotic null distribution of the Wald test for a threshold is non-standard and mildly dependent on the...

This note corrects an error in Hansen, Journal of Applied Econometrics (1992)