cointegration in structural breaks
Posted: Thu Jul 17, 2014 10:06 am
I am working with databases that when i test with Perron (1997) (the add in) exist evidence of unit root test with structural break. I want to know if exist a method (or addin) more apropiated to test the residuals (resids) to know if the model is OK or is not valid due a structural break.
What is the correct method to work with structural break (for estimation or pronostics) ?
Sorry my bad english.
Regards from Dominican Republic
What is the correct method to work with structural break (for estimation or pronostics) ?
Sorry my bad english.
Regards from Dominican Republic