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GLS-detrending and regime-wise stationarity testing

Discussion of models with structural breaks or endogenous switching.
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GLS-detrending and regime-wise stationarity testing

Postby unforgiven02 » Wed Sep 22, 2010 3:39 am

Hi all,

i wish to replicate Claude Lopez's paper, GLS-detrending and regime-wise stationarity testing in small samples, Economics Letters,2009 using WinRats. Any suggestions?
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Re: GLS-detrending and regime-wise stationarity testing

Postby TomDoan » Thu Sep 23, 2010 5:16 pm

The Perron-Rodriguez procedure does this with a single break and includes a GLS-detrending procedure as well. The GLS detrending procedure can fairly easily be adapted to allow for two breaks.

http://www.estima.com/procs_perl/700/pe ... riguez.src
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