I have time series for 35 years and want to detect unknow structural breaks as suggested by Kim and Perron (2009). Kindly help me which software should be suitable to conduct this analysis and how to command..??
Thanks Etuke. Yes ADF n PP i have already checked.
But I want to check unit root with unknown structural breaks by Kim and Perron (2009) method.
How to do that.?
The ADF and other test are old -generation tests. I saw that there are some news unit root test (with structural) breaks in Eviews 10. Try the last version. Personally i hadn't the occasion to do it so i don't know if fits your desire.
Good luck!
Dear Nazia, there is currently no formal procedure for implementing Kim and Perron (2009) in EVIEWS, not even an add-in for such test. However, I suggest you follow Prof. Dave Giles blog "Econometric Beat", he might have a useful step on how to trick EVIEWS into implementing the test. Meanwhile, you may which to download and install Zivot-Andrews (ZA) add-in for performing unit root test for unknown break. If your ZA test reveals structural break, then you may have to apply the "Break Point Unit Root Test" which is based on modified ADF that allows for a break, usually found in EVIEWS VERSIONS higher than 8.
Nazia, when MULTIPLE unknown structural breaks are in the arena for a time series, and you wanna test stationarity, the BEST way is Narayan-Popp 2010 nonstationarity test since NP2010 uses innovational outliers technique, and perfectly locate position of structural breaks as an ON THE FLY during the execution of the test.
Narayan-Liu 2015 is the version that handles the possibility of heteroskedasticity in the series as well.
Superiority of NP2010 test to earlier structural break tests (including Zivot-Andrews, Lee-Strazicich etc.) can be found in Narayan's 2013 paper.
You can find the Gauss code for NP2010 test in Narayan's RG page. Gauss 18 trial student version is free. You may go with this path.
Since I did not like that code, I wrote an R code (I'm an useR; we think therefore we R!) to perform NP2010 test with ggplot2 to present the results visually.
Dear Erdogan
Can we perform Narayan-Popp 2010 test using eviews? if no then would you like please share your R code? my email is [email protected]
Dear Erdogan CEVHER Could you please share the R code to conduct the test? It will be really helpful. Email ID: [email protected]
Thanks.
Dear Erdogan CEVHER ,
would you like please share your R code to my email [email protected]
I will be really helpful for my research.
Thank you before.
Dear Erdogan
Please I am interested in the code.
[email protected]. Thanks
Dear Erdogan,
I am also interest in the R code for applying the Narayan and Popp 2010 test.
Can you please send that to me, or inform me where to find it?
My email is [email protected].
Thank you!
Dear Erdogan,
I am also interest in the R code for applying the Narayan and Popp 2010 test.
please and please send it to my email below:
My email is: [email protected]
Kind regards,
Charles Saba
Dear Erdogan CEVHER ,
Could you share your R code for Narayan and Popp (2010) test with me?.
Please send it to my email.
Thank you in advance,
Jesús Lucindo
kindly share the NP R code you developed. I will be glad to have it for educational and research purposes. thanks
Dear Erdogan CEVHER,
I am also interested in the R code for applying the Narayan and Popp 2010 test.
please kindly send it to my email below:
My email is: [email protected]
Best regards,
Niraj
I am also interested in the R code for applying the Narayan and Popp 2010 test.
please kindly send it to my email below:
My email is: [email protected]
Dear Erdogan CEVHER ,
I am also interested in the R code for applying the Narayan and Popp 2010 test.
please kindly send it to my email below:
My email is: [email protected]
Dear Erdogan CEVHER ,
I am also interested in the R code for applying the Narayan and Popp 2010 test to identify break.
please kindly send it to my email below:
Email: [email protected]
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