Least Squares with Breaks

For econometric discussions not necessarily related to EViews.

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hugo_eviews
Posts: 6
Joined: Tue Aug 29, 2017 11:45 am

Least Squares with Breaks

Postby hugo_eviews » Fri Sep 01, 2017 12:59 pm

Hi,

I'm new to EViews 10 and saw that there is a new regression method called "Least Squares with Breakpoints" which splits the regression results based on bai-perron test for structural breaks. I have two questions on this:

1- What happens when one of the regressors is non-significant in only 1 bracket (sub-period), and significant in the other, can we keep the variable in the model?

2-If the variables have unit root, but are cointegrated, will my inferences based on the associated statistics be correct?

If anyone has any documentation on this method please share!

Thanks.

EViews Glenn
EViews Developer
Posts: 2551
Joined: Wed Oct 15, 2008 9:17 am

Re: Least Squares with Breaks

Postby EViews Glenn » Tue Sep 05, 2017 10:48 am

1. EViews doesn't allow you to have a variable in only one regime so the variable will be included, but in both regimes.

2. I don't recall which results go through.

http://www.eviews.com/help/helpintro.ht ... ect_header


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