BaiPerron (Bai-Perron breakpoint test - Requires R)

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jack.econ
Posts: 2
Joined: Thu May 09, 2013 10:37 am

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

Postby jack.econ » Thu May 09, 2013 10:44 am

Hi,

I am (also) struggling with the BaiPerron breakpoint test because the equations that I estimated using LS, even the simplest one regressing e.g. interest rate on a constant gives as an error message: "R(for 'library(strucchange)') returned an error: evaluation stopped because of an error." (min subsample size 0.15, I tried however also others).

I have installed R 3.0.0, the strucchange package strucchange_1.7-7, statconnDCOM3.5 and then Eview 7.2 and the BaiPerron addin. I have even reinstalled and installed the package to see whether it is correctly installed.

I will appreciate a response! Thanks very much in advance!

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

Postby EViews Gareth » Thu May 09, 2013 10:46 am

Errors in the R package are very difficult (or impossible) to debug.

To be honest, you're probably best off upgrading to EViews 8, which as Bai-Perron testing as a built in feature.
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jack.econ
Posts: 2
Joined: Thu May 09, 2013 10:37 am

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

Postby jack.econ » Thu May 09, 2013 11:42 am

Thanks for the reply Gareth, however I am using Eviews on an university computer so i will have to wait for the upgrade. That said, is there anything I should give a try that may solve the problem?

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

Postby EViews Gareth » Thu May 09, 2013 11:44 am

From your description it is impossible to suggest anything.
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paneltester
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Joined: Mon Mar 15, 2010 5:03 pm

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

Postby paneltester » Sun Aug 18, 2013 1:44 am

Dear Gareth and other Eviews Admin people

I am interested in calculating the confidence intervals for the break dates in the Bai-Perron (2003) tests. Can you (or any reader of this) please tell me whether this can be done using the Bai-Perron (1998) add-in to Eviews, as well as whether this will be valid? I own Eviews 7.2 as well as Eviews 8. The inbuilt Bai-Perron breakpoint tests in Eviews 8 are great, but not overly helpful if I cannot generate the confidence intervals for the break dates to report when I write up my research.

On the other hand, if anyone has some code written to manually compute the confidence intervals suggested by Bai & Perron (2003) on the basis of the Eviews data, that would be a great help.

Many thanks!

euge50
Posts: 1
Joined: Tue Feb 10, 2015 4:45 am

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

Postby euge50 » Tue Feb 10, 2015 4:59 am

EViews Gareth wrote:You cannot use breakpoint tests when you have a dummy variable such as the one you have - it will cause singularities (as the error message indicates).


I have not dummies in my ecuation, but I get the same error message when I run BP test. I'm testing an ARDL model. Would you help me?

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

Postby EViews Gareth » Tue Feb 10, 2015 6:32 am

You probably have singularities.
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