Leverage plots for dummy variable of Bai-Perron break tests

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a.do88
Posts: 27
Joined: Sat May 27, 2017 10:01 pm

Leverage plots for dummy variable of Bai-Perron break tests

Postby a.do88 » Sun May 28, 2017 5:03 pm

Hi guys,

I run Bai-Perron (1998) break tests for a time series: stock returns of Shanghai stock exchange index (SHE) and S&P500 index. The regressor for each time series is its own past returns (one day lag). so for SHE, it is rSHE(t-1), for S&P500, it is rSP(t-1). The tests is 1 to M globally determined breaks, trimming 0.15, max breaks 2, no d.f. adjustment for covariances. There are two breakpoints for each time series then I do the leverage plots for dummy variable or each time series but don't know how to read it.

Does anyone know how to interpret the leverage plots for dummy variable of Bai-Perron Break tests? Can you please help me :(

Much appreciate.

Anh
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a.do88
Posts: 27
Joined: Sat May 27, 2017 10:01 pm

Re: Leverage plots for dummy variable of Bai-Perron break tests

Postby a.do88 » Tue May 30, 2017 5:18 pm

Does anyone know ? :cry:


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