Hello,
we investigate illiquidity effects in financial market time series and possible structural breaks of these regressions. Since there are a large number of regressions, we have written a program code for this purpose.
Is it possible to automatize the stability test on multiple breakpoints for the least square regressions for the procedure "global l breaks vs. none breaks" and the output of the UDMax and WDMax values?
Thanks a lot!
Best
Thomas
Stability diagnostics - possible to program?
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ThomasPaul
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Stability diagnostics - possible to program?
Last edited by ThomasPaul on Sat Jun 15, 2019 4:39 am, edited 1 time in total.
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EViews Gareth
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ThomasPaul
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Re: Stability diagnostics - possible to program?
Perfect! Thanks a lot for your immediate help!
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