Dummy Variables for Multiple structural breaks in a series

Discussion of models with structural breaks or endogenous switching.
Zankawa
Posts: 65
Joined: Mon Jun 15, 2015 2:23 pm

Dummy Variables for Multiple structural breaks in a series

Unread post by Zankawa »

I am estimating a VAR and I have identified 5 structural breaks in one of the series. I have decided to introduce 5 dummy variables, each dummy taking the value of 0 prior to the break date, and 1 after the break had occurred to the last date of the series. I want to ask if this is the right approach to dealing with multiple structural breaks in a series using dummies.
Thank you
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Dummy Variables for Multiple structural breaks in a seri

Unread post by TomDoan »

How did you "identify" 5 structural breaks in one series? Structural breaks aren't in a series; they're in a model. And breaks in a simple univariate model may have no bearing on breaks in a VAR.
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