I have run the Hathem J code widely available on GAUSS. And, I am getting this result;
******** Modified ADF Test ***********
t-statistic = -5.5274237
AR lag = 1.0000000
first break point(ADF) = 0.22471910
second break point(ADF) = 0.57838416
******** Modified Phillips Test ********
Zt = -5.610
First break point (Zt) = 0.238
Second break point (Zt) = 0.579
Za = -62.194
First breakpoint (Za) = 0.225
Second breakpoint (Za) = 0.579
how to calculate the first break date and the second break date. the total number of observation used in this study 3738.
Your question is not clear for me, but for the structural break you can use Chow Test which you can easily estimate in every software following various videos on youtube, I hope I was helpful Ayesha Siddiqui
Regards,
AM
Hello Ayesha Siddiqui ,
The output you are seeing printed to the screen provides the break point as a fraction of the data points.
For example, the modified ADF test suggestions that
first break point(ADF) = 0.22471910
second break point(ADF) = 0.57838416
This means that with 3738 total data points, the Modified ADF tests finds that the first break point occurs at 0.22471910 * 3738 = 840 and the second break point at 0.57838416*3738 = 2162.
As a suggestion, you may also want to try posting your questions on the Aptech User Forum - https://www.aptech.com/questions/ .
Erica
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