Search found 1 match
- Tue Sep 10, 2019 4:03 am
- Forum: Estimation
- Topic: Multiple Breakpoint Test with ARMA
- Replies: 1
- Views: 5411
Multiple Breakpoint Test with ARMA
Hi all. I am doing the GARCH and EGARCH model of economic volatility. I want to employ structural breaks in my equation. The mean equation is an ARMA model. However, I cannot do the multiple breakpoint test since it said: "models with AR and MA terms are not eligible for multiple break testing....