structural breaks
Posted: Mon Jul 24, 2017 8:14 am
Hi there,
I hope you are very well.
I would like to know what test for detecting structural break is better. Bai Perron global structural break or Breakpoint unit root test Dickey Fuller test. Even though both test can give you a break date, in my opinion, as Dickey Fuller test can assess unit root with break is more useful.
please, any comments are welcome.
regards,
MS
I hope you are very well.
I would like to know what test for detecting structural break is better. Bai Perron global structural break or Breakpoint unit root test Dickey Fuller test. Even though both test can give you a break date, in my opinion, as Dickey Fuller test can assess unit root with break is more useful.
please, any comments are welcome.
regards,
MS