Re: [Gretl-users] Zivot Andrews Structural Test

Am 24.04.2018 um 08:27 schrieb Giulio Carlo Venturi: > Greetings everyone, > > I am working on inflation time series with Gretl for my econometric > thesis. > I have been searching the Internet for a week now trying to find a Gretl > package for Zivot Andrews structural break test without success. > Does anybody know where I might find it? > Hi, I don't think there is one, (it's an old test...) but it is fairly easy. I give you the following hints how to create the relevant deterministic terms and perform the test: <hansl> series y = TFP # your input variable k = 4 # lag order trim = floor(0.1 * $nobs) # 10% trimming breakdate = $t1 + trim series DU = (t > breakdate) # level shift series DTstar = (t < breakdate) ? 0 : t - breakdate # trend segment series trend = time ols y const DU trend DTstar y(-1) diff(y(-1 to -k)) tstat = ($coeff(y_1) - 1) / $stderr(y_1) print tstat </hansl> Now all you have to add is a loop that varies the break date from $t1+trim to $t2-trim and look for the minimal t-stat. And then of course use the correct critical values from the literature. (This is for Model C I think. If you want a different variant, you'd have to adapt this.) good luck, sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users