unit root with multiple structural breaks

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sharmas
Posts: 2
Joined: Tue Nov 30, 2021 11:01 pm

unit root with multiple structural breaks

Postby sharmas » Wed Dec 22, 2021 3:18 am

I want to use
-Narayan and Popp (2010) unit root test with two endogenous breaks.
-LM unit root test of Lee and Strazicich (2003) which can accommodate two breaks in the intercept and the slope.
-KPSS stationarity test of Carrion-i-Silvestre and Sansó (2007) with two endogenous breaks in the intercept and trend.

Also, I want to use
-Panel Kwiatkowski–Phillips–Schmidt–Shin (KPSS) stationarity test with multiple breaks (Carrion-i-Silvestre, Barrio-Castro, and Lopez-Bazo 2005).
- LM unit root test with structural breaks (Im, Lee, and Tieslau 2005).

Please let me know how to use these tests in Eviews.

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Re: unit root with multiple structural breaks

Postby EViews Glenn » Wed Dec 22, 2021 1:09 pm

None of the above tests are supported as in-built features. I will put them on the list for future development consideration.

pitsi
Posts: 19
Joined: Wed May 28, 2014 2:43 pm

Re: unit root with multiple structural breaks

Postby pitsi » Sat Jun 04, 2022 10:52 am

Hello,

Could I please ask if in the unit root test I need to compare the estimated t-stat with all the critical values provided?
For example, in the results below do I consider my series as having a unit root at 1% and thus I need to test the first differences or as stationary (not having a unit root at 10%)? although I ve searched the forum for answers I couldnt find something relevant, so apologies if a post has skipped.


Lee Strazicich LM unit root test
Model: Crash (A)
Null hyphothesis : L_EL_EV has a unit root with break


Minimum test statistic (tau) -3.150229
Break point 2008M11
Selected lag 6
Test critical values 1% level -3.845292
5% level -3.280960
10% level -2.988276

Regression output
Variable Coefficient t statistic
S(t-1) -0.048952 -3.150229
Constant 0.001905 0.778143
B(t) -0.080214 -2.036415


Thank you very much


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