strucutral change before doing a VAR.

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corona8a
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Joined: Fri Jun 03, 2011 6:23 pm

strucutral change before doing a VAR.

Postby corona8a » Fri Jun 03, 2011 6:43 pm

Does somebody knows how to correct a structural change in a stationary series before doing the unit root test? I already know that if the series is stationary is posible to do the VAR. But I`m sure that there is a structural change affecting only one of my series that are going into the VAR, so i want to do something about it. Is it possible with the methodology of Perron? is that into eviews tools?

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