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Hi,

I understand that those tests are for equation only. If I'm interested in testing structural break in a VAR, equation by equation, what'd be the best way to do it? I'm thinking about breaking up a certain VAR into n single equations. What's the best command (makemodel or makesystem)? I'm having trouble getting single equation out of either a system or a model to apply those test to. Any suggestions?
Thanks,

Trung

You could use makesystem to turn your VAR into a system, add some dummy variables, then do a Wald test

How do you do a Wald test? I don't understand these steps. Let's say I have a bivariate VAR(1) of ffr and oilprice. I want to test if there is a break in each equation (1) ffr regression on lag oilprice and (2) oilprice regression on lag ffr. I want to put them into a program so that I can change/track them later.
Thanks,

T

You have to make the system first, then estimate it, then do a wald test on the system.

I have tried that, getting system estimated. However, what I want is to perform the breakpoint tests Chow/Quandt-Andrews/Bai-Perron on the equations in the system. Is there anyway to handling individual equation in the system? I can run a loop and specify each equation from a VAR and test, but that isn't efficient.
T

When you turn the VAR into a system, you will have an equation, with separate coefficients, for each equation in the VAR. You can then specify the Wald test using those coefficients.

Gareth, I followed your instructions and was able to conduct a Quandt-Andrews test for an unknown break date for a single equation taken from a VAR. After doing some further work, however, I found that I needed to take first differences for a few of my series in order to deal with issues of non-stationarity... Attempting to perform the same procedure to test for a break date, (and using my newly revised data set), I was given the error message "Specification leads to zero or invalid breakpoints." This would be all well and good - it's entirely possible that no breakpoints exist within the data set - except that when I perform individual Chow tests for dates that I am especially interested in, I AM finding evidence of potential breaks. Any ideas as to what could be causing this error? I'm currently using Eviews 6 (Student version) and have attached my workfile below.

You'll get that error message if any of the dates cause an estimation to fail, such as if singularities occur etc...

Hmm... all of my data points are defined, though I suppose that it's possible that the Chow test statistic is undefined for some date or another, and is leading to an error for the overall quandt/andrew's test. Is there any way to know which particular observation is causing the error? I guess I could run a Chow test for each observation, but it would be pretty time consuming...

Thanks so much for your help.

Unfortunately not.

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