Am 11.01.2017 um 02:16 schrieb Allin Cottrell:
On Tue, 10 Jan 2017, George Matysiak wrote:
> I've looked at past correspondence and other than this,
>
http://lists.wfu.edu/pipermail/gretl-users/2012-July/007772.html, I'm
> unable to locate anything on unit roots and structural breaks tests in
> Gretl. Has anyone written a function? Thanks.
Guide. Or the supplied script file perron97.inp
If I understand George correctly, he is looking for the combination of a
unit root and a structural break test, presumably with the structural
break under the alternative hypothesis. Then this perron97.inp script
would be the thing to look at I guess, not necessarily the other sources
Allin mentioned.
It is true this could be made into a function package, it wouldn't be
too difficult. Maybe the most tedious work would actually be to collect
all the non-standard critical values or to think about a clever way how
to provide those to the user.
BTW, if I remember correctly there are some subtle issues involved like
a shift dummy for the levels needing to be augmented by further impulse
dummies for the lagged differences and so forth. In the original
articles that wasn't always done I think.
cheers,
sven