Unit Root test with structural break

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Unit Root test with structural break

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


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.


EViews Glenn
EViews Developer
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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]

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