Hello,
I performed the Bai-Perron test on my series, and I found 2, 3, and 4 breaks in different series. I want to perform the Carrion-i-Silvestre (CS) test on these series individually. However, the structural breaks identified in the series do not match those from the Bai-Perron test, and the code for sbur_gls does not include the differencing process. Could you please provide me with the appropriate codes to perform the stationarity test on each series individually using the CS test
1 Answer
0
Hello,
By default, the sbur_gls function calculates the breakpoints that globally minimizes the SSR in an unrestricted model. This could lead to different estimated breakpoints.
However, sbur_gls also allows you to use known break dates, if you prefer to use the breakpoints selected by the Bai and Perron methodology.
To do this, you will need to use the sburControl structure to set the ctl.knownBreak member to 0 and the ctl.breakDate vector to the observation number of the known breaks.
// Set up control structure
struct sburControl sburCtl;
sburCtl = sburControlCreate();
// Specify breakpoints to be
// those estimated using the
// Bai and Perron test
sburCtl.breakDate = {10, 23, 113};
Your Answer
1 Answer
Hello,
By default, the sbur_gls function calculates the breakpoints that globally minimizes the SSR in an unrestricted model. This could lead to different estimated breakpoints.
However, sbur_gls also allows you to use known break dates, if you prefer to use the breakpoints selected by the Bai and Perron methodology.
To do this, you will need to use the sburControl structure to set the ctl.knownBreak member to 0 and the ctl.breakDate vector to the observation number of the known breaks.
// Set up control structure
struct sburControl sburCtl;
sburCtl = sburControlCreate();
// Specify breakpoints to be
// those estimated using the
// Bai and Perron test
sburCtl.breakDate = {10, 23, 113};