Restricted to have at least 15 observations.įollowing Bai and Perron (2003), we begin by estimating the equation specification using least squares. ![]() Since there are 103 observations in the sample, the trimming value implies that regimes are WeĪllow up to 5 breaks in the model, and employ a trimming percentage of 15%. The regression model consists of a constant regressor, and allows for serialĬorrelation that differs across regimes through the use of HAC covariance estimation. The data, which consist of observations for the three-month treasury rate deflatedīy the CPI for the period 1961q1–1983q3, are provided in the series RATES in the workfile Journal of Applied Econometrics, 6, 72–78.). Real interest rate from Garcia and Perron (1996) that is used as an example by Bai and Perron (2003 “Computation and Analysis of Multiple Structural Change Models,” To illustrate the use of these tools in practice, we consider a simple model of the U.S. Note that these tests are closely related to breakpoint regression. Below are some examples of performing the tests in EViews. Results that further extend the Quandt-Andrews framework by allowing for multipleĮViews 8 introduces these multiple breakpoint tests. More recently, Bai (1997) and Bai and Perron (1998, 2003a) provide theoretical and computational Andrews (1993) andĪndrews and Ploberger (1994) derived the limiting distribution of the Quandt and related The F-statistic with the largest value over all possible breakdates. To relax the requirement that theĬandidate breakdate be known, Quandt (1960) modified the Chow framework to consider ![]() Regime change at a priori known dates using an F-statistic. Important part of applied econometric work dating back to Chow (1960), who tested for Tests for parameter instability and structural change in regression models have been an
0 Comments
Leave a Reply. |