Structural breaks - State Space Method.
Posted: Sun Apr 14, 2019 2:13 am
Hello, I've estimated the following model
@ename e1
@ename e2
@ename e3
@evar var(e1) = exp(c(1))
@evar var(e2) = exp(c(2))
@evar var(e3) = exp(c(3))
@signal var1 =c(4) + beta*var1(-1) + gamma*var2+ e1
@state gamma = gamma(-1) + e2
@state beta = beta(-1) + e3
The trend in gamma seems to exhibit multiple structural breaks(by mere eyeballing)
Is there any way I can econometrically estimate when(the specific years) the structural breaks had occurred?
Thanks.
@ename e1
@ename e2
@ename e3
@evar var(e1) = exp(c(1))
@evar var(e2) = exp(c(2))
@evar var(e3) = exp(c(3))
@signal var1 =c(4) + beta*var1(-1) + gamma*var2+ e1
@state gamma = gamma(-1) + e2
@state beta = beta(-1) + e3
The trend in gamma seems to exhibit multiple structural breaks(by mere eyeballing)
Is there any way I can econometrically estimate when(the specific years) the structural breaks had occurred?
Thanks.