strucutral change before doing a VAR.
Posted: 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?