Hansen's Test for Parameter Instability [STB-23: sts7.5]
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^hansen2^ [varlist] [^if^ exp] [^in^ range] [^, r^egress ^tsfit^-options]
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, and
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
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Ken Heinecke
Federal Reserve Bank of Kansas City
816-881-2199 (FAX)
Note
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^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
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Hansen, B.E. 1992. "Testing for Parameter Instability in Models."
^Journal of Policy Modeling^. Vol. 14 pp. 517--533.
Also See
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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^