Dear all,
I'm running a qlrtest for a structural break in a simpel OLS-regression
with a constant and two dependend variables. gretl gives me a
break-date, significant at the one-percent-level, the critical value of
which is given as 6.02. gretl gives as source of those critical values
Stock and Watson (2003): Introduction in Econometrics.
I take it, those asymptotic critical values for a qlr test were
originally calculated by Andrews (1993) and corrected also by Andrews
(2003). I just checked with the Andrews (2003) paper and if I read that
table correctly, the critical value of a qlr test with 15% trimming and
3 degrees of freedom is 18.07.
I randomly ran a few other regressions, and the other critical values
don't seem to square either.
Am I missing something here, or did there go something wrong with the
transfer of those values into gretl?
Best,
Britta