Bai and Perron multiple break test

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sohansust
Posts: 13
Joined: Sat Oct 26, 2013 1:35 am

Re: Bai and Perron multiple break test

Postby sohansust » Thu Dec 07, 2017 8:49 am

Since I am assuming multiple breaks, I created 6 by 10 matrix by
matrix(6,10) breaks

and used
breaks(!j,!i)=eq.@breaks(!j)
in the loop, is shows following error:
@BREAKS is not a member or procedure of EQ in "BREAKS(1,1)=EQ.@BREAKS(1)

EViews Gareth
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Re: Bai and Perron multiple break test

Postby EViews Gareth » Thu Dec 07, 2017 10:07 am

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sohansust
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Re: Bai and Perron multiple break test

Postby sohansust » Thu Dec 07, 2017 10:58 am

Eviews 8

EViews Gareth
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Re: Bai and Perron multiple break test

Postby EViews Gareth » Thu Dec 07, 2017 11:32 am

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sohansust
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Re: Bai and Perron multiple break test

Postby sohansust » Fri Dec 08, 2017 5:22 am

Thanks Gareth,
It works in Eviews 10 (provides the breakdates in vector).

briabr
Posts: 2
Joined: Tue Mar 06, 2018 2:42 am

Re: Bai and Perron multiple break test

Postby briabr » Tue Mar 06, 2018 3:09 am

hi
i need urgent help on Bai-Perron test.
I dont know how to estimate these results and what breaks are significant.
I am testing for break in the spread then testing for break in the regression of the residuals on the Google trends events.
Would you please reply me as soon as possible.
Bria

Sequential F-statistic determined breaks: 4

Scaled Critical
Break Test F-statistic F-statistic Value**

0 vs. 1 * 1570.772 1570.772 8.58
1 vs. 2 * 144.9649 144.9649 10.13
2 vs. 3 * 63.33356 63.33356 11.14
3 vs. 4 * 46.49056 46.49056 11.83
4 vs. 5 0.000000 0.000000 12.25

* Significant at the 0.05 level.
** Bai-Perron (Econometric Journal, 2003) critical values.

Break dates:
Sequential Repartition
1 7/11/2017 6/13/2017
2 9/12/2017 7/11/2017
3 6/13/2017 8/07/2017
4 8/07/2017 9/12/2017

briabr
Posts: 2
Joined: Tue Mar 06, 2018 2:42 am

Re: Bai and Perron multiple break test

Postby briabr » Tue Mar 06, 2018 3:10 am

i mean i don't know how to interpret these results:
Sequential F-statistic determined breaks: 4

Scaled Critical
Break Test F-statistic F-statistic Value**

0 vs. 1 * 1570.772 1570.772 8.58
1 vs. 2 * 144.9649 144.9649 10.13
2 vs. 3 * 63.33356 63.33356 11.14
3 vs. 4 * 46.49056 46.49056 11.83
4 vs. 5 0.000000 0.000000 12.25

* Significant at the 0.05 level.
** Bai-Perron (Econometric Journal, 2003) critical values.

Break dates:
Sequential Repartition
1 7/11/2017 6/13/2017
2 9/12/2017 7/11/2017
3 6/13/2017 8/07/2017
4 8/07/2017 9/12/2017


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