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Re: Bai and Perron multiple break test

Posted: Thu Dec 07, 2017 8:49 am
by sohansust
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)

Re: Bai and Perron multiple break test

Posted: Thu Dec 07, 2017 10:07 am
by EViews Gareth
Version of EViews?

Re: Bai and Perron multiple break test

Posted: Thu Dec 07, 2017 10:58 am
by sohansust
Eviews 8

Re: Bai and Perron multiple break test

Posted: Thu Dec 07, 2017 11:32 am
by EViews Gareth
Not available in 8

Re: Bai and Perron multiple break test

Posted: Fri Dec 08, 2017 5:22 am
by sohansust
Thanks Gareth,
It works in Eviews 10 (provides the breakdates in vector).

Re: Bai and Perron multiple break test

Posted: Tue Mar 06, 2018 3:09 am
by briabr
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

Re: Bai and Perron multiple break test

Posted: Tue Mar 06, 2018 3:10 am
by briabr
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