Does anyone know how, when you're using the Bai-Perron technique, to include moving average (MA) terms in the model that you want to apply the Bai-Perron technique to?
Thanks,
Bill
Bai Perron and Moving Average
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TomDoan
- Posts: 7826
- Joined: Wed Nov 01, 2006 4:36 pm
Bai Perron and Moving Average
None of the streamlined calculations would apply to models with moving averages or any other form of non-linearity. Anything like that would require a brute force nested grid search.