Unit Root test with structural break

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NASSAR
Posts: 1
Joined: Thu Nov 01, 2012 11:17 pm

Unit Root test with structural break

Postby NASSAR » Sun Oct 29, 2017 6:13 am

Hello,

I am using Eviews 10. I have ran the following code:

y.buroot(exog=trend, break=both, trim=10, breakmethod=abstrend)

It returns the test's results with the Break Selection based on Minimizing Dickey-Fuller t-statistic where it should be based on Maximizing the trend break abs-t-statistic.

Please help.

Nassar

EViews Glenn
EViews Developer
Posts: 2590
Joined: Wed Oct 15, 2008 9:17 am

Re: Unit Root test with structural break

Postby EViews Glenn » Mon Oct 30, 2017 10:33 am

There appears to be a bug in the parsing engine. We have code which carefully makes certain to consider only relevant breakpoint selection so that we don't parse options for invalid methods. Unfortunately, the code is currently also ignoring one or two valid methods in your case. For the moment, you'll have to use the interactive interface, but I'm going to expedite a fix of this one so that it'll go into the next patch (which is imminent).

Sorry for the inconvenience.

[edit: I believe the patch is up]

zzhao212
Posts: 1
Joined: Thu May 24, 2018 10:10 am

Re: Unit Root test with structural break

Postby zzhao212 » Thu May 24, 2018 10:30 am

Is there a way to specify the break type -- to be either innovational or additive -- when using buroot? This option is available in the Breakpoint Unit Root Test interface but unavailable for buroot according to http://www.eviews.com/help/helpintro.ht ... 23ww201394

The default behavior of buroot is to assume innovational.

EViews Glenn
EViews Developer
Posts: 2590
Joined: Wed Oct 15, 2008 9:17 am

Re: Unit Root test with structural break

Postby EViews Glenn » Thu May 24, 2018 10:51 am

Sorry, the option was not documented. If you go into the dialog and run it with the additive outlier and look at the command capture, you'll see that the option is "type=ao", as in

Code: Select all

dyuk.buroot(type=ao)

Sorry for the inconvenience.


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