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Re: Structural Break Test
Posted: Sat May 16, 2020 12:30 pm
by TomDoan
Sounds like you're running a model with quite a few lags. It's possible that the pi option is too small given the size of the data set and size of the model you're running.
Re: Structural Break Test
Posted: Tue May 19, 2020 1:01 am
by Osabuohien247
TomDoan wrote:Sounds like you're running a model with quite a few lags. It's possible that the pi option is too small given the size of the data set and size of the model you're running.
Thank you Tom, i have figured-out what the problem was. It's ok now.
Re: Structural Break Test
Posted: Mon Jun 08, 2020 1:49 am
by Osabuohien247
Good day everybody,
When the residual dates in Andrews-Quandt and Andrews-Ploberger comes before the Variables (All Coeff) structural break point dates (i.e the robust F-statistics date (1981) before Break point statistics date (1987)),Please what does this denote?
Thank you.
OO
Re: APBREAKTEST—General test for breaks in linear regression
Posted: Mon May 08, 2023 8:32 am
by TomDoan
I'm not sure what your question is. @APBREAKTEST with ROBUSTERRORS uses a different test statistic than @APBREAKTEST without it so there is no reason that the two would show the maximum break at the same location.