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Dummy in ADF-test
Posted: Tue Feb 25, 2014 7:24 am
by h0ps
Hi
I would like to test for a unit root in a time series but I want to add a dummy variable due to possible structural breaks. Is there anyway to perform this in eviews 7.2?
Thx
Re: Dummy in ADF-test
Posted: Tue Feb 25, 2014 7:26 am
by h0ps
(Or maybe if there is some kind of endougenous instead of exogenous test that would be better - I think Perron may have done something but I'm not sure)
Re: Dummy in ADF-test
Posted: Tue Feb 25, 2014 7:35 am
by h0ps
Woops - regarding the endogenous test I think I have to look for something lik Zivot Andreas (just what google tells me)
Re: Dummy in ADF-test
Posted: Tue Feb 25, 2014 9:42 am
by EViews Glenn
You could certainly add the dummy variables and run your own ADF regression then use the critical values from the published Perron papers for the exogenous case. There is an EViews add-in that does Zivot-Andrews which you can download. I don't think that it requires 8.
Re: Dummy in ADF-test
Posted: Thu Feb 27, 2014 3:02 am
by h0ps
How do I add this add-in?
Re: Dummy in ADF-test
Posted: Thu Feb 27, 2014 9:00 am
by EViews Gareth