How to find structural breaks in a Time Series(N=36) using gretl?

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Hasret Balcioglu

Please see the website at

http://gretl.sourceforge.net/gretl-help/gretl-guide.pdf

Dhruv Goel

After forming a model, use Quandt test. It will show F-values for different structural breaks. Choose the one with the highest value. However, be careful in establishing the break's relevance.

Laxmi Narayan

@Dhruv Goel, The series is stationary at 2nd difference and when I apply QLR test, it shows structural break in 2009 but when QLR test is applied on level data, it shows break in 2010. Which one is to considered as a break.

Hector Carcel-Villanova

You could use Bai and Perron (2003) structural break test in Eviews

@Laxmi Sorry, for the late reply. According to me you should use the break as is shown differenced series, as that is what you are using in the model.

Ehsan Khalili

please have a look at answers of my question(link below) ...

https://www.researchgate.net/post/Does_anyone_know_a_test_or_software_that_diagnoses_breakpoints_in_time_series_data?_tpcectx=qa_overview_asked&_trid=8ojaFhoEgkMhuuQoJ2lELQLH_