ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST
提出一种替代方法，通过反演积分方程计算安德鲁斯结构稳定性检验的精确渐近p值和临界值，可推广至其他使用上确界泛函的稳定性检验。
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.