should data be stationary for a Quandt Andrews test?

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lethe_123
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Joined: Wed Apr 14, 2010 6:39 pm

should data be stationary for a Quandt Andrews test?

Postby lethe_123 » Fri Aug 13, 2010 2:46 am

hello everyone,I want to use QA test to check if a benchmark stock index has break points.

the series itself is not stationary. but after first difference, it is.

Should I use the originary data(non-statioanry), or the first differenced data (stationary) for the test? Thanks!

-Junxian

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