Something people might like to test: in CVS I've added Bruce
Hansen's asymptotic p-values for the "qlrtest" command, and also
configured it so that if the original model was estimated with the
--robust flag, the sup-Wald test uses the robust variance matrix.
As for the issue I mentioned a week ago (the dating of the "break"),
I notice that Hansen defines it the same way gretl does (the break
period being the first period of the "new regime") so I'm not going
to change that at present.
Allin