Quandt-Andrews breakpoint test for a generated variable

[wetkneehouston]

Hi,
I have generated a series of 1500 observations like this:

Y1 = 0+sqr(3)*nrnd for sample 1 - 500
Y1 = 50+sqr(3)*nrnd for sample 501-1000
Y1 = 50+sqr(30)*nrnd for sample 1001 - 1500

As part of a question, I am asked to perform the Quandt-Andrews breakpoint test and find the observation where the break occurs. As I understand it, you need to estimate an equation to use this test, but all I have is the variable Y1. To perform this test do I have to make this variable into an equation somehow? How would I go about doing this and performing the test? Any help would be really appreciated!

[EViews Glenn]

Presumably you'd want to regress on a constant

[trubador]

As a programme code, you can do it as follows:

Code: Select all

wfcreate u 1500 series y smpl 1 500 Y = 0+sqr(3)*nrnd smpl 501 1000 Y = 50+sqr(3)*nrnd smpl 1001 1500 Y = 50+sqr(30)*nrnd smpl @all equation eq.ls y c eq.ubreak 15

Please lookup the EViews' help system for "Andrews-Quandt breakpoint test" for more details.

[wetkneehouston]

As a programme code, you can do it as follows:

Code: Select all

wfcreate u 1500 series y smpl 1 500 Y = 0+sqr(3)*nrnd smpl 501 1000 Y = 50+sqr(3)*nrnd smpl 1001 1500 Y = 50+sqr(30)*nrnd smpl @all equation eq.ls y c eq.ubreak 15

Please lookup the EViews' help system for "Andrews-Quandt breakpoint test" for more details.

Thanks a lot for your help, that seems to work!