Tut6 structural breaks

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Explains how to test for structural breaks in data (CUSUM and Chow's test) using EViews

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  • how to write research methodology of bai perron in eviews 8 software in thesis..........please help me.. to tell about this ..if anybody know this pls send the RM parts to my emailid....: kurianswapna85@gmail.com
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  • Hi I have 20 yrs trade data and I followed the same way as you showed in the slides for getting the structural break. But for CUSUM Test, the figure is just showing after the break point (i.e. after 1979, according to your figure). Why the figure not coming before the break point as well? what is the problem in my analysis?
    Thanks
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  • step to run structural break test
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Tut6 structural breaks

  1. 1. ECON321 Economic Analysis Tutorial 6 Time series issues: Structural breaks
  2. 2. Introduction <ul><li>The lecture on chapter 10 explains that it is important to make sure that your data do not contain structural breaks. </li></ul><ul><li>A structural break implies that there are multiple regression relationships between the dependent and independent variables with different intercepts and/or slopes. </li></ul><ul><li>You need to identify possible structural breaks and control for them by using dummies. </li></ul><ul><li>A first step is to plot your variables. If a series shows a displacement over time, you have to be concerned. </li></ul><ul><li>We continue with the example of interest rates, inflation and the budget deficit in the U.S. </li></ul>
  3. 17. <ul><li>Adding a dummy to your time series analysis can be very useful, but do not go overboard looking for breaks everywhere. Having more than one dummy becomes difficult to interpret. Only identify the break that you are able to explain with the history that goes with the series you are looking at. </li></ul><ul><li>In ECON617 you will use dummies more sensibly to deal with seasonality in time series data. In 618 dummies are used to identify categories in cross-section data. </li></ul><ul><li>Save your workfile and continue… </li></ul>

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