Hansen's Test for Parameter Instability                      [STB-23: sts7.5]
---------------------------------------

^hansen2^ [varlist] [^if^ exp] [^in^ range] [^, r^egress ^tsfit^-option > s] Tests the null hypothesis of constant parameters from a regression using ^varlist^ against the alternative hypothesis that the parameters follow a martingale. ^hansen2^ prints individual statistics for each of the parameters in the model as well as a statistic for a joint test of all of the parameters. The test statistics are based on the residuals from the regression model in ^varlist^ estimated over the entire sample.

^hansen2^ uses ^tsfit^ (sts4: STB-15; sts4.1: STB-16) to estimate the model, an > d all the ^tsfit^ options can be specified. The ^regress^ option displays the regression output; the default is to suppress this output.

Use of ^hansen2^ requires that ^tsfit^ be installed.

Author ------ Ken Heinecke Federal Reserve Bank of Kansas City 816-881-2199 (FAX)

Note ----

^hansen2^ differs from ^hansen^ in just one detail. Minimal changes were made by Nicholas J. Cox to fix a problem with tempfile names under Windows. Thanks to David Greenberg who alerted Statalist to the problem and several Statalist members who suggested ideas on fixing it.

References ----------

Hansen, B.E. 1992. "Testing for Parameter Instability in Models." ^Journal of Policy Modeling^. Vol. 14 pp. 517--533.

Also See --------

STB: ip6 (STB-20); sts4 (STB-15); sts4.1 (STB-16); sts7.3 (STB-20); sts7.5 (STB-23); sts8 (STB-20) On-line: ^help^ for ^tsfit^