Hi,
I know that there are questions about testing for structural breaks once you have an equation.
My question is how I can test a series I already have for structural breaks. Eviews always wants me to use the equation, however it is the series I am interested in, not the equation.
Can this be done ?
Thanks
Structural Breaks in a Series
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EViews Gareth
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Re: Structural Breaks in a Series
Can you define what a structural break is "in a series"?
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Hurlstrino
- Posts: 5
- Joined: Sun Nov 14, 2010 9:34 am
Re: Structural Breaks in a Series
OK,
So I am trying to run a granger causality analysis on 20 series, each containing quarterly data.
It is my understanding that before I run the granger analysis, I need to take into account the structural breaks.
Now, due to the fact that I am running the causality analysis on a group of 20 series, and I am trying to see if
Series 1 -> Series 2
Series 2 -> Series 3
Series 3 -> Series 1 etc
I don't have just two series that I can create an equation out of.
1. How would I go about testing for the structural breaks in my data ?
2. Do I need to worry about the structural breaks to be able to run the granger analysis, or are the breaks irrelevant ?
Thank you so much for your prompt reply !
So I am trying to run a granger causality analysis on 20 series, each containing quarterly data.
It is my understanding that before I run the granger analysis, I need to take into account the structural breaks.
Now, due to the fact that I am running the causality analysis on a group of 20 series, and I am trying to see if
Series 1 -> Series 2
Series 2 -> Series 3
Series 3 -> Series 1 etc
I don't have just two series that I can create an equation out of.
1. How would I go about testing for the structural breaks in my data ?
2. Do I need to worry about the structural breaks to be able to run the granger analysis, or are the breaks irrelevant ?
Thank you so much for your prompt reply !
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