How to estimate a structural break when using FMOLS?
Posted: Wed Jul 10, 2013 6:29 pm
Hello, I am working on estimating wealth effect(or consumption function?) with Eviews8.
My question is, when a structural break is likely to be around the late 1999 in regime (I mean, a shift in regime - according to Gregory-Hansen), is it OK to just enter elements such attached?
(consum= consumption
income=income
wealth=wealth
dum=0 before 1999q2 and 1 since 1999q2)
and when the estimation out says dummy variables are all significantly different from 0, can we suggest there may have been a structural break?
(I know that Gregory-Hansen test assumes there is only one structural break in a sample period)
Thanks!
My question is, when a structural break is likely to be around the late 1999 in regime (I mean, a shift in regime - according to Gregory-Hansen), is it OK to just enter elements such attached?
(consum= consumption
income=income
wealth=wealth
dum=0 before 1999q2 and 1 since 1999q2)
and when the estimation out says dummy variables are all significantly different from 0, can we suggest there may have been a structural break?
(I know that Gregory-Hansen test assumes there is only one structural break in a sample period)
Thanks!