bai perron test
Posted: Tue Mar 18, 2014 1:14 pm
Hi,
I have nonstationary variables (3 vars), but they are cointegrated in my model. Can I use bai perron test to identify structural breaks? If not, what are the methods I can use to test more than one unknown structural changes for nonstationary data?
I also found that the EViews example for bai perron test uses one independent variable to find structural breaks for single variable (e.g., interest rate). Could you let know whether I can use multiple variables (just like in my model) to find structural breaks? Do I need to run bai perron test for each variable?
Thank you!
I have nonstationary variables (3 vars), but they are cointegrated in my model. Can I use bai perron test to identify structural breaks? If not, what are the methods I can use to test more than one unknown structural changes for nonstationary data?
I also found that the EViews example for bai perron test uses one independent variable to find structural breaks for single variable (e.g., interest rate). Could you let know whether I can use multiple variables (just like in my model) to find structural breaks? Do I need to run bai perron test for each variable?
Thank you!