_______________________________________________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] 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@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users