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
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