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.