Re: [Gretl-users] interpreting the “StrucBreak” package for gretl

Am 15.10.2018 um 11:31 schrieb Yusuf Abduwahab Hassan: Can i safely conclude that there is no evidence of structural break in the chosen dates? No I don't think so. ? SB_Tests(&bII) =================================================================== OUTPUT FROM THE TESTING PROCEDURES =================================================================== a) supF[Y.A.H1] <#m_8796068290093470441__msocom_1> tests against a fixed number of breaks -------------------------------------------------------- supF(1|0) supF(2|0) supF(3|0) 11.432 11.189 10.897 Critical values: supF(1|0) supF(2|0) supF(3|0) 10% 10.37 9.43 8.48 5% 12.25 10.58 9.29 2.5% 13.86 11.63 10.14 1% 16.19 12.90 11.12 Testing none against 2 or 3 breaks is significant here at "conventional" levels. Against 1 break it is borderline (10%, but not 5%). -------------------------------------------------------- b) Dmax tests against an unknown number of breaks -------------------------------------------------------- UDmax test: 11.431741 Crit. values: 10%: 10.86 5%: 12.59 2.5%: 14.15 1%: 16.19 ........................................................ WDmax test (crit. val.) 10% 13.33 11.71 5% 14.37 13.66 2.5% 14.90 15.33 1% 15.87 17.80 ******************************************************** Both UDmax and WDmax again borderline, and as it says, against an unspecified (unknown) number of breaks under the alternative hypothesis. supF(l+1|l) tests using global optimizers under the null -------------------------------------------------------- supF(2|1) 10.93 1981 supF(3|2) 10.70 1993 -------------------------------------------------------- Critical values: 10% 5% 2.5% 1% supF(2|1) 12.19 13.83 15.51 17.58 supF(3|2) 13.20 14.73 16.55 18.31 These test results are not significant. So taking these results together the evidence is mixed in my view. cheers, sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users