hello everyone,I want to use QA test to check if a benchmark stock index has break points.
the series itself is not stationary. but after first difference, it is.
Should I use the originary data(non-statioanry), or the first differenced data (stationary) for the test? Thanks!
-Junxian
Search found 3 matches
- Fri Aug 13, 2010 2:46 am
- Forum: Econometric Discussions
- Topic: should data be stationary for a Quandt Andrews test?
- Replies: 0
- Views: 1774
- Fri Apr 16, 2010 4:27 am
- Forum: Econometric Discussions
- Topic: [chow test]can any one answer if there's breakpoint?
- Replies: 0
- Views: 2374
[chow test]can any one answer if there's breakpoint?
Besides, what critical value should I compare with the f-statistic to decide? thanks! ================================================================================================================== Chow Breakpoint Test: 7/02/1997 Null Hypothesis: No breaks at specified breakpoints Equation Sample...
- Wed Apr 14, 2010 6:45 pm
- Forum: Econometric Discussions
- Topic: Question about 'chow test'!
- Replies: 0
- Views: 2066
Question about 'chow test'!
I model for the data series with "Y C Y AR(1)", than conduct the chow test.now here's the output. but I don't understand it. can anyone tell me what's the meaning of them and is there really a break at the tested date? Thanks in advance! [[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[...