BaiPerron (Bai-Perron breakpoint test - Requires R)

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EViews Gareth
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BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby EViews Gareth » Sat Aug 06, 2011 6:25 pm

I guess it would be easier to make the slight modification to the add-in to fetch other values from R, than it would be to go to another language. Although that, of course, depends on your knowledge of the languages.
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herzogrw
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Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby herzogrw » Sun Aug 07, 2011 8:27 am

I am just starting to learn R. I've used Eviews and Stata for most of my research. I have programmed the Bai (1999) test in Stata, but wanted to see how well the BaiPerron test worked in Eviews, mainly because of the easy of Eviews. I would have no clue how to adjust the add-in.

EViews Glenn
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Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby EViews Glenn » Mon Aug 08, 2011 10:00 am

I'm assuming you want to run the Add-in...(if not, disregard the comments below).

There is documentation in the EViews 7.1 supplement. Here's the 30 second version.

If you have EViews 7.1 and R installed on your system, go to the webpage for the Add-ins and install the Bai-Perron Add-in. If you don't have EViews 7.1 installed, do so. If you don't have R installed, see the documentation for EViews 7.1 on the steps you'll need to follow to install and configure R.

Estimate your equation in EViews, then use the Proc/Add-ins menu to call your routine.

diego
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Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby diego » Tue Aug 09, 2011 8:17 am

Hi, i just finished to run the B&P test (it give me two break in the data), but i want to see the diferent coefficients for the variables....How can i see them?

Thanks

Diego

EViews Gareth
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Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby EViews Gareth » Tue Aug 09, 2011 8:18 am

I guess, run the regression by itself over the smaller subsamples.
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diego
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Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby diego » Wed Aug 10, 2011 8:04 am

EViews Gareth wrote:I guess, run the regression by itself over the smaller subsamples.


Ok, yes i did that but i thought there was another way to see it in the test. Thanks

herzogrw
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Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby herzogrw » Sat Aug 20, 2011 8:58 am

I'm able to run the add-in but the statistics reported are nearly useless when presenting results. I have no come across a paper citing Bai-Perron without reporting the F statistics. Is there a 30 second guide for going into the add in and capturing the F statistics

EViews Gareth
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Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby EViews Gareth » Tue Aug 30, 2011 8:20 am

I'm not sure what you mean by the F-statistics. The R package that we use, strucchange, does have a routine for calculating F-statistics, but they're just the collection of Chow breakpoint Wald F-statistics that can be calculated in EViews via the Quandt-Andrews test built into EViews.
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herzogrw
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Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby herzogrw » Mon Sep 05, 2011 3:56 pm

That helps. Thanks.

phs
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Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby phs » Sun Oct 30, 2011 6:42 pm

I have used the Bai-Perron addin before and it have worked fine. Therefore I know for a fact that I am not missing anything on my computer, the only problem should be in my code below. I have updated to the latest versions of R, EViews 7.2, the addin, the package strucchange.

Code: Select all

WFOPEN "C:\temp\y.wf1"
'just to make sure that the NAs are not the problem
smpl 29/06/2009 @last
equation eq01.ls y10 c x10 (x10*dx10)
'equation eq01.ls y10 c x10        'THIS DID NOT WORK EITHER
'equation eq01.ls y10 c @trend   'THIS DID NOT WORK EITHER
show eq01
eq01.BAIPERRON(size = 0.15)
copy table01 hello


I have attached the file that I am using. What am I doing wrong, it has worked before with similar tasks but not this time. I really cannot understand why.
Attachments
y.wf1
(27.67 KiB) Downloaded 371 times

EViews Gareth
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Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby EViews Gareth » Sun Oct 30, 2011 8:39 pm

The first specification won't work because you'll get too many singularities. The second specification worked fine for me.
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tbianco
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Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby tbianco » Tue Feb 07, 2012 8:48 am

Why can't the test be used on ARMA terms?

EViews Gareth
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Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby EViews Gareth » Tue Feb 07, 2012 9:06 am

I believe the R package doesn't support it.
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EViews Glenn
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Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby EViews Glenn » Tue Feb 07, 2012 10:21 am

It doesn't. The standard algorithms for computing all of the regressions in a Bai-Perron framework requires simple linearity of the specification.

Vibha
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Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Postby Vibha » Mon Mar 05, 2012 1:34 pm

Hi. I am new to eviews. I have to find the breakpoint date on stock data. I have downloaded eviews 7.1 and created my workfile with my two variables "date" and "closingprices". I downloaded R as required. I have run my regression test using the "estimate equation" option. I obtained the result window however when i click on Bai perron breakpoint test under Addin. It asked for a subsample size in which i entered the total no of observations of my sample. But when i click Ok, an error message appears stating that i havent installed R and advises to review the documentation regarding installation. I looked at the pdfs under help section but couldnt find any. What should i do to run the test?


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