[求助]结构突变的问题

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请高手指点一下,在EVEIWS里怎么操作结构突变的单位检验,主要是针对性于内生性结构突变,*(用循序法),

还有结构突变的协整怎么怎么做呢?>

求关于结构突变方面的文章

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关键词：结构突变 Eveiws eveiw 高手指点 怎么操作 结构 突变

厦门大学出了一本这方面的书你可以找到看看,具体作者我不太清楚了.

多在网络上找找这样的文章不知有多少,当然是国外的.

以下是引用hgz2373294在2006-4-11 20:40:00的发言：

厦门大学出了一本这方面的书你可以找到看看,具体作者我不太清楚了.

多在网络上找找这样的文章不知有多少,当然是国外的.

楼上的兄台，能不能告诉我书名大概是什么啊？

本人急需

多谢了

那有没有关于这方面的操作的呢?

急啊~

This is the seminal work by Andrews (1993) about unknown structural break tests. You might incorporate this test in unite root test. For example, the persistence parameter in an AR process might have changed over time which can induce deceptively high value of autoregressive root.

Bai and Perron (1998;2003) and some others are simply extensions of this single break tests to multiple ones. However, one has to specify maximum break numbers. Another disadvantage of Bai-Perron algorithm is that the tests do not provide p-values. Andrews (1993) and Andrews and Ploberger (1994) are the most elegant ones. In particular, the exponential Wald statistic and Average Wald statistic are optimal.

I have some experience of this, and Gauss code is available when requested from 四海为家。

Kindly regards.

48179.pdf (3.14 MB)

2006-4-13 01:09:00 上传

[求助]结构突变的问题

[此贴子已经被作者于2006-4-13 1:15:08编辑过]

Please use Stata 8.0 or later. It is convinent and ready to use. You may download Stata 8.0 from this forum.

thank you so much. Could you please give me your MSN or Email so that I can contact with you ,If I need the GAUSS code.

My MSN :tomatolch@hotmail.com

stata has some codes for unit root tests with unknown structure break such as clemio1, clemio2, clemao1 and clemio2, (1 for one structure break, while 2 for two structure break), and zandrews as mentioned in previous writer, you can type these commands with help and find how to use them in stata.

[此贴子已经被作者于2006-4-18 21:38:24编辑过]

在stata里面做这个检验,是需要自己编程还是直接在对话窗口里面操作啊~~

我实在是在这方面懂不到啊,急切盼望高手指点!!!

可否提供一段类似的程序?谢谢谢谢

可参阅张晓峒老师主编的《计量经济学软件EViews使用指南》第二版第16章例16。

简单修改即可。