bai-perron test
Posted: Thu Aug 04, 2016 3:22 am
hi
I have a problem in understanding the concept of bai-perron test for structural changes
particularly my question is about SupF_t (m)=F_T (λ_1….,λ_m)
I want to know step by step how do the "m" is chosen by supF?
would you explain what the supF is and how the value of this statistic is resulted?
also SupF(l+1|l) is hard to get...
I have a problem in understanding the concept of bai-perron test for structural changes
particularly my question is about SupF_t (m)=F_T (λ_1….,λ_m)
I want to know step by step how do the "m" is chosen by supF?
would you explain what the supF is and how the value of this statistic is resulted?
also SupF(l+1|l) is hard to get...