Bai and Perron str break test using Nonlinear estimation
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Bai and Perron str break test using Nonlinear estimation
Hi guys, following the Eviews suggestion on how to use the Bai and Perron test, it seems that initialy you estimate your model with LS and by listing your dependent and the regressors. How can I impose Nonlinear least squares estimation before testing for breaks? Is that possible?
Many thanks
Many thanks

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Re: Bai and Perron str break test using Nonlinear estimatio
It is not built in. The algorithms that one uses for the BaiPerron test require linearity.
Re: Bai and Perron str break test using Nonlinear estimatio
The probles is that i get different estimates when i analyticaly write the estimated equation rather than just list the variables. So Is there any way we estimate using non linear LS and then conducting this test?? The problem is that Eviews does not allow you to conduct the test when you write the analytical specification of the estimated equation. It says that you have to list the variables.

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Re: Bai and Perron str break test using Nonlinear estimatio
I don't understand the point about getting different estimates when you analytically write the estimated equation. Could you elaborate?
Oh, and on another note. If you only have a single break, the EViews implementation of the QuandtAndrews tests allows you to test in nonlinear specifications. Note that the theory for performing this test on nonlinear specifications hasn't necessarily been worked out (though I suspect that it goes through).
Oh, and on another note. If you only have a single break, the EViews implementation of the QuandtAndrews tests allows you to test in nonlinear specifications. Note that the theory for performing this test on nonlinear specifications hasn't necessarily been worked out (though I suspect that it goes through).
Re: Bai and Perron str break test using Nonlinear estimatio
What my theoretical model requires is to estimate my model as: INTEREST_RATE_=(1C(1))*(C(2)+C(3)*INFLATION+C(4)*OUTPUT_GAP)+C(1)*LAGGED_INTEREST_RATE
So If I write it like that in the 'Equation specification' i get different results compare to the case where I just list the variables in the 'Equation specification'.
So If I write it like that in the 'Equation specification' i get different results compare to the case where I just list the variables in the 'Equation specification'.
Re: Bai and Perron str break test using Nonlinear estimatio
Please have a look at the the first sheet. I have 2 estimations..Please have a look at the 'Representation' of each estimation so you understand what I mean.
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Re: Bai and Perron str break test using Nonlinear estimatio
They're completely specifications. It is not surprising they result in different estimates.
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Re: Bai and Perron str break test using Nonlinear estimatio
So the question now is how can I apply the Bai and Perron test in the INTEREST_RATE_=(1C(1))*(C(2)+C(3)*INFLATION+C(4)*OUTPUT_GAP)+C(1)*LAGGED_INTEREST_RATE specification ????

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Re: Bai and Perron str break test using Nonlinear estimatio
As I wrote earlier, QuandtAndrews.

 Nonnormality and collinearity are NOT problems!
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Re: Bai and Perron str break test using Nonlinear estimatio
lakis wrote:So the question now is how can I apply the Bai and Perron test in the INTEREST_RATE_=(1C(1))*(C(2)+C(3)*INFLATION+C(4)*OUTPUT_GAP)+C(1)*LAGGED_INTEREST_RATE specification ????
Why not just do the test listing the RHS variables? You should get the exact same regression.
Re: Bai and Perron str break test using Nonlinear estimatio
I need Bai Perron test only..Thats the problem..
Re: Bai and Perron str break test using Nonlinear estimatio
startz wrote:lakis wrote:So the question now is how can I apply the Bai and Perron test in the INTEREST_RATE_=(1C(1))*(C(2)+C(3)*INFLATION+C(4)*OUTPUT_GAP)+C(1)*LAGGED_INTEREST_RATE specification ????
Why not just do the test listing the RHS variables? You should get the exact same regression.
Because I am afraid that I would get different structural break results If I could write analytically the specification of the regression equation. Or not?

 Nonnormality and collinearity are NOT problems!
 Posts: 3551
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Bai and Perron str break test using Nonlinear estimatio
I think you get the same results, as the test depends on the sum of squared residuals. I'm not 100% sure.

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Re: Bai and Perron str break test using Nonlinear estimatio
I just looked carefully at the spec, and Startz is right that's it's just a renormalized linear regression so all should be fine. The original poster saying that it was a nonlinear specification kind of threw a wrench into the discussion. The BaiPerron tests are actually Wald tests, but since everything is linear, the results should be the same (as you will see if you perform a QuandtAndrews and compare the results to the BaiPerron with a single break).
Re: Bai and Perron str break test using Nonlinear estimatio
Guys...think I am getting crazy..Thats what I found in a published paper:
"Nonlinear leastsquares estimates of the following equation: i=(1ρ)(β+γ*p(t)+δ*y(t))+ρi(t1)
where i is the Federal Funds Rate, p is forecasted inflation, and y is the output gap. "
First of all, the above model is linear or nonlinear???? if its nonlinear how do we estimate it in Eviews??
Much appreciated
"Nonlinear leastsquares estimates of the following equation: i=(1ρ)(β+γ*p(t)+δ*y(t))+ρi(t1)
where i is the Federal Funds Rate, p is forecasted inflation, and y is the output gap. "
First of all, the above model is linear or nonlinear???? if its nonlinear how do we estimate it in Eviews??
Much appreciated
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