Bai Perron Test

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anto2209
Posts: 15
Joined: Fri Mar 04, 2016 8:49 am

Bai Perron Test

Postby anto2209 » Thu Apr 07, 2016 2:53 am

Dear All,

One quick question about Bai Perron: I am dealing with three commodity prices at different places and I want to test for cointegration. The period analysed spanned from 1994 to 2012, weekly prices. Now, I would understand if and when there is a structural break in the model.

How do I have to enter it when testing for structural breaks? Do I have to estimate an equation for variables in levels or first differences?

Moreover, what if the Bai Perron detects (at least) one structural break but when estimating johansen the three prices are cointegrated w/o including any dummy accounting for breaks? Can I say the break is cancelled out in the cointegration?

Thank in advance,

Bests

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