Bai Perron and Trim factor
Posted: Fri Mar 25, 2016 1:55 am
Hi there
I wanted to perform a Bai and Perron test with a trimming parameter of 25 and a maximum number of breaks equal to 5. My sample is 330 observations.
I get the following error message:
Invalid specification for the maximum number of breaks given the sample size and trimming percentage (must be less than or equal to 2)
With a trimming of 20 is also does not work. It only works if I use a trimming of 15 or lower.
Could somebody explain this or point me to some documentation about this?
Best
s
(using EViews 9)
I wanted to perform a Bai and Perron test with a trimming parameter of 25 and a maximum number of breaks equal to 5. My sample is 330 observations.
I get the following error message:
Invalid specification for the maximum number of breaks given the sample size and trimming percentage (must be less than or equal to 2)
With a trimming of 20 is also does not work. It only works if I use a trimming of 15 or lower.
Could somebody explain this or point me to some documentation about this?
Best
s
(using EViews 9)