Code: Select all
dy=c(1)+C(2)*DU1+c(3)*DU2+C(4)*DUT1+C(5)*DUT2+C(6)*T+C(7)*Y(-1)+C(7)*DY(-1)
And 219 observations.
DU1=structural break is in 153th observation
DU2=structural break is in 173th observation
for example a simulation program with 20000 replications.
I must calculate critical values at 1%,5% and 10% significance level.
i wrote this program to this end with 10000 observations and 10000 replications.
Code: Select all
wfcreate u 1 10000
rndseed 12345
series tau_statistic1
series tau_statistic2
series tau_statistic3
series dum2=@recode(@date>=@dateval(" 6941 "),1,0) "6941 is structural break date
series dum5=@recode(@date>=@dateval(" 7900 "),1,0) "7900 is structural break date
series dumt2=dum2*@trend
series dumt5=dum5*@trend
for !i=1 to 10000
smpl @first @first
series y=0
smpl @first+1 @last
series y=y(-1)+nrnd
series dy=y-y(-1)
equation equ1.ls dy c y(-1) dum2 dum5 dy(-1) dy(-2) dy(-3) dumt2 dumt5 @trend
tau_statistic1(!i)=equ1.@tstats(2)
equation equ2.ls dy c y(-1) dum2 dum5 dy(-1) dy(-2) dy(-3) dumt2 dumt5
tau_statistic2(!i)=equ2.@tstats(2)
equation equ3.ls dy dum2 y(-1) dum5 dy(-1) dy(-2) dy(-3) dumt2 dumt5
tau_statistic3(!i)=equ3.@tstats(2)
next
smpl @first @last
scalar k1=@quantile(tau_statistic1,0.01)
scalar k2=@quantile(tau_statistic1,0.05)
scalar k3=@quantile(tau_statistic1,0.1)
scalar k4=@quantile(tau_statistic2,0.01)
scalar k5=@quantile(tau_statistic2,0.05)
scalar k6=@quantile(tau_statistic2,0.1)
scalar k7=@quantile(tau_statistic3,0.01)
scalar k8=@quantile(tau_statistic3,0.05)
scalar k9=@quantile(tau_statistic3,0.1)
table(5,5) zzzz
zzzz(1,2)="none"
zzzz(1,3)="intercept"
zzzz(1,4)="intercept & trend"
zzzz(2,1)="1%"
zzzz(3,1)="5%"
zzzz(4,1)="10%"
zzzz(2,4)=k1
zzzz(3,4)=k2
zzzz(4,4)=k3
zzzz(2,3)=k4
zzzz(3,3)=k5
zzzz(4,3)=k6
zzzz(2,2)=k7
zzzz(3,2)=k8
zzzz(4,2)=k9
Now i want to run this program with 10000 replications and 219 observations.
please guide.