Dear list:
Somebody has an eviews code to extend the Perron (1989) unit root test with one exogenous (known) structural break to allow for two exogenous structural breaks? I want to perform this kind of test because I suspect where clearly my series are broken.
Thanks.
José
Search found 6 matches
- Fri Apr 29, 2016 6:09 am
- Forum: Estimation
- Topic: Unit root test with two exogenous (known) structural breaks
- Replies: 0
- Views: 2199
- Fri Jan 18, 2013 11:16 am
- Forum: Econometric Discussions
- Topic: Granger causality test with trend stationay variable
- Replies: 1
- Views: 4102
Granger causality test with trend stationay variable
Hello, can anyone help me with this issue? I want to make a Granger causality analysis with two variables. One of them "market share" is "trend stationary" (linear and quadratic) and the other one "GDP" is non-stationary (integrated of order 1). The Granger causality te...
- Fri Aug 03, 2012 3:48 am
- Forum: Estimation
- Topic: Unit Root test with two structural breaks
- Replies: 6
- Views: 13063
Re: Unit Root test with two structural breaks
Hi, Finally you get the solution at your post? At this moment I need to implement LS test with two structural breaks for a annual data serie, and I have not seen this test in Eviews, and I think that neither R package contains it, only in RATS or Gauss. Has somebody a code for this test?. Best regar...
- Mon Jul 09, 2012 12:42 am
- Forum: Econometric Discussions
- Topic: p-value differences in ADF test
- Replies: 5
- Views: 7235
Re: p-value differences in ADF test
Investigating a more litle, I have found that the difference is due that Gretl uses the asymptotic critical value of MacKinnon (1996) and Eviews and fUnitRoots R-Package gives the critical value of response surface for finite samples. However, the article of MacKinnon (1996) suggests (if I understan...
- Mon Jul 09, 2012 12:40 am
- Forum: Econometric Discussions
- Topic: p-value differences in ADF test
- Replies: 5
- Views: 7235
Re: p-value differences in ADF test
Investigating a more litle, I have found that the difference is due that Gretl uses the asymptotic critical value of MacKinnon (1996) and Eviews and fUnitRoots R-Package gives the critical value of response surface for finite samples. However, the article of MacKinnon (1996) suggests (if I understan...
- Thu Jul 05, 2012 8:22 am
- Forum: Econometric Discussions
- Topic: p-value differences in ADF test
- Replies: 5
- Views: 7235
p-value differences in ADF test
Good morning: My name is José Perles. I'm researcher of the University of Alicante (Spain) Applied Economics Analysis Department (Honorific Collaborator at this moment). I'm doing a unit root test ADF with Gretl, R and Eviews on a serie of tourism market share of Spain specified with constant and tr...