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