sir, i have a data with 5 variables. I found more than 3 break points in each variable through ADF Breakpoint test. 1- Now the problem is that which break point should be selected as dummy in cointegration. 2- For example for GDP i got 1990 as break point. So the dummy of year 1990 will be step or impulse dummy?
Very nice professor. Stay blessed.
how to do structure breakpoint in time series and plot the same???
sir, i have a data with 5 variables. I found more than 3 break points in each variable through ADF Breakpoint test. 1- Now the problem is that which break point should be selected as dummy in cointegration.
2- For example for GDP i got 1990 as break point. So the dummy of year 1990 will be step or impulse dummy?
the test you conducted is not that of Zivod-Andrews, it's perron's 1997
Agree
@@harpreetkaur-bo4ko Agree bro this is not Zivot and Andrew. That can be run from the add-in.
Agree
I do no think that breakpoint test based on ADF min t-test is Zivot and Andrew test.
Yes, this is a modified ADF test with a single unknown structural break. you have to download add-in for zivot and andrews test
don't mind sir before the making video first prepare yourself and do work on your communication skills.