Bai and Perron multiple break test
Posted: Mon May 11, 2015 5:58 am
Dear All,
Once a regression has been estimated and you check the stability of diagnostic by applying the Bai and Perron multiple break test how do you interpret the break dates and define the interval to re-estimate the regression according those breaks.
For example after selecting the global maximiser option and obtaining the below output:
Multiple breakpoint tests
Bai-Perron tests of 1 to M globally determined breaks
Date: 02/03/15 Time: 14:41
Sample: 1963Q1 2012Q4
Included observations: 172
Breakpoint variables: C Y LPXIP U
Break test options: Trimming 0.15, Max. breaks 5, Sig. level 0.05
Test statistics employ HAC covariances (Prewhitening with lags = 1,
Quadratic-Spectral kernel, Andrews bandwidth)
Allow heterogeneous error distributions across breaks
Sequential F-statistic determined breaks: 5
Significant F-statistic largest breaks: 5
UDmax determined breaks: 2
WDmax determined breaks: 2
Scaled Weighted Critical
Breaks F-statistic F-statistic F-statistic Value
1 * 47.43494 189.7398 189.7398 16.19
2 * 104.8705 419.4820 493.2036 13.77
3 * 84.63619 338.5447 450.3730 12.17
4 * 68.96194 275.8478 413.8995 10.79
5 * 61.48036 245.9214 438.0053 9.09
UDMax statistic* 419.4820 UDMax critical value** 16.37
WDMax statistic* 493.2036 WDMax critical value** 17.83
* Significant at the 0.05 level.
** Bai-Perron (Econometric Journal, 2003) critical values.
Estimated break dates:
1: 1976Q2
2: 1978Q4, 1989Q1
3: 1977Q3, 1985Q4, 1992Q2
4: 1977Q3, 1985Q4, 1992Q2, 2006Q4
5: 1977Q3, 1985Q4, 1992Q2, 1999Q3, 2006Q4
How to I interpret the breakdates and define intervals for each of the breaks?
Any help will be very welcome.
Regards,
Vitor
Once a regression has been estimated and you check the stability of diagnostic by applying the Bai and Perron multiple break test how do you interpret the break dates and define the interval to re-estimate the regression according those breaks.
For example after selecting the global maximiser option and obtaining the below output:
Multiple breakpoint tests
Bai-Perron tests of 1 to M globally determined breaks
Date: 02/03/15 Time: 14:41
Sample: 1963Q1 2012Q4
Included observations: 172
Breakpoint variables: C Y LPXIP U
Break test options: Trimming 0.15, Max. breaks 5, Sig. level 0.05
Test statistics employ HAC covariances (Prewhitening with lags = 1,
Quadratic-Spectral kernel, Andrews bandwidth)
Allow heterogeneous error distributions across breaks
Sequential F-statistic determined breaks: 5
Significant F-statistic largest breaks: 5
UDmax determined breaks: 2
WDmax determined breaks: 2
Scaled Weighted Critical
Breaks F-statistic F-statistic F-statistic Value
1 * 47.43494 189.7398 189.7398 16.19
2 * 104.8705 419.4820 493.2036 13.77
3 * 84.63619 338.5447 450.3730 12.17
4 * 68.96194 275.8478 413.8995 10.79
5 * 61.48036 245.9214 438.0053 9.09
UDMax statistic* 419.4820 UDMax critical value** 16.37
WDMax statistic* 493.2036 WDMax critical value** 17.83
* Significant at the 0.05 level.
** Bai-Perron (Econometric Journal, 2003) critical values.
Estimated break dates:
1: 1976Q2
2: 1978Q4, 1989Q1
3: 1977Q3, 1985Q4, 1992Q2
4: 1977Q3, 1985Q4, 1992Q2, 2006Q4
5: 1977Q3, 1985Q4, 1992Q2, 1999Q3, 2006Q4
How to I interpret the breakdates and define intervals for each of the breaks?
Any help will be very welcome.
Regards,
Vitor