Zivot & Andrews to test structural breaks
Posted: Thu Sep 19, 2019 11:52 pm
Hello,
I am working with a series of the PEN/USD exchange rate from 1992 to 2018. I have been asked to choose a univariate model through the Box-Jenkins methodology that allows me to adequately estimate my variable. Before proceeding with Box-Jenkins I have to make sure that my series is stationary, so I did a series of unit root tests. However, what I need to do now is the Zivot & Andrews test to see if the series presents structural break or not. I am not sure how to do the programming on eviews. I would be grateful if you could help me with this and also explain me how I check if there is indeed a structural break or not.
Best regards,
David
I am working with a series of the PEN/USD exchange rate from 1992 to 2018. I have been asked to choose a univariate model through the Box-Jenkins methodology that allows me to adequately estimate my variable. Before proceeding with Box-Jenkins I have to make sure that my series is stationary, so I did a series of unit root tests. However, what I need to do now is the Zivot & Andrews test to see if the series presents structural break or not. I am not sure how to do the programming on eviews. I would be grateful if you could help me with this and also explain me how I check if there is indeed a structural break or not.
Best regards,
David