Stability diagnostics - possible to program?
Posted: Fri Jun 14, 2019 11:48 am
Hello,
we investigate illiquidity effects in financial market time series and possible structural breaks of these regressions. Since there are a large number of regressions, we have written a program code for this purpose.
Is it possible to automatize the stability test on multiple breakpoints for the least square regressions for the procedure "global l breaks vs. none breaks" and the output of the UDMax and WDMax values?
Thanks a lot!
Best
Thomas
we investigate illiquidity effects in financial market time series and possible structural breaks of these regressions. Since there are a large number of regressions, we have written a program code for this purpose.
Is it possible to automatize the stability test on multiple breakpoints for the least square regressions for the procedure "global l breaks vs. none breaks" and the output of the UDMax and WDMax values?
Thanks a lot!
Best
Thomas