Structural breaks - State Space Method.

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PMait
Posts: 5
Joined: Fri Jan 18, 2019 9:37 am

Structural breaks - State Space Method.

Postby PMait » Sun Apr 14, 2019 2:13 am

Hello, I've estimated the following model

@ename e1
@ename e2
@ename e3

@evar var(e1) = exp(c(1))
@evar var(e2) = exp(c(2))
@evar var(e3) = exp(c(3))

@signal var1 =c(4) + beta*var1(-1) + gamma*var2+ e1

@state gamma = gamma(-1) + e2
@state beta = beta(-1) + e3

The trend in gamma seems to exhibit multiple structural breaks(by mere eyeballing)
Is there any way I can econometrically estimate when(the specific years) the structural breaks had occurred?
Thanks.

amitoss
Posts: 1
Joined: Fri Apr 12, 2019 5:20 am

Re: Structural breaks - State Space Method.

Postby amitoss » Sun Apr 14, 2019 9:55 am

Yes you can . You have to reformulate your model by adding a structural component to it. See pg 3 below:

https://pdfs.semanticscholar.org/0a06/3 ... 54c257.pdf

PMait
Posts: 5
Joined: Fri Jan 18, 2019 9:37 am

Re: Structural breaks - State Space Method.

Postby PMait » Sun Apr 14, 2019 7:10 pm

Any suggestions as to how I can code this in Eviews?


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