As a final step in my master’s thesis, I want to run the parameter stability testing procedure, “Estimate of Set of Stable parameters” developed by Inoue and Rossi (2011), that makes use of Andrews’ (1993) QLR stability test.
I haven’t found any examples of QLR test neither in Stata Guide and Manual nor this forum. So, can it be done in Stata? On Dynare forum, I received advice that Dynare output can be used in other software in order to run QLR test. Many thanks in advance!
I haven’t found any examples of QLR test neither in Stata Guide and Manual nor this forum. So, can it be done in Stata? On Dynare forum, I received advice that Dynare output can be used in other software in order to run QLR test. Many thanks in advance!
