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Bai Perron and Moving Average

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Bai Perron and Moving Average

Posted: Fri Dec 15, 2006 3:42 pm
by miles
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

Posted: Fri Apr 20, 2007 11:13 am
by TomDoan
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.
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